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Gregory Rice

University of Waterloo - Department of Statistics and Actuarial Science

200 University Avenue West

Waterloo, Ontario N2L 3G1

Croatia

  • University of Waterloo - Department of Statistics and Actuarial Science

SCHOLARLY PAPERS

3

DOWNLOADS

445

TOTAL CITATIONS

1

Scholarly Papers (3)

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1.

A Functional Time Series Analysis of Forward Curves Derived from Commodity Futures

Number of pages: 38 Posted: 27 Aug 2018 Last Revised: 29 Jul 2019
Lajos Horváth, Zhenya Liu, Gregory Rice and Shixuan Wang
University of Utah - Department of Mathematics, EM Normandie Business School, University of Waterloo - Department of Statistics and Actuarial Science and University of Reading - Department of Economics
Downloads 326 (231,953)

Abstract:

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Forward curves, S&P GSCI, Commodity Futures, Functional Data Analysis, Functional Autoregressive Models, Functional Principal Component Analysis

2.

Sequential Monitoring for Changes from Stationarity to Mild Non-stationarity

Number of pages: 55 Posted: 16 Oct 2018 Last Revised: 10 Jun 2019
Lajos Horváth, Zhenya Liu, Gregory Rice and Shixuan Wang
University of Utah - Department of Mathematics, EM Normandie Business School, University of Waterloo - Department of Statistics and Actuarial Science and University of Reading - Department of Economics
Downloads 113 (630,858)
Citation 1

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change point detection, stationarity testing, normal approximation, non-stationary ARMA time series, non-stationary GARCH time series

3.

An operator-level ARCH Model

Number of pages: 48 Posted: 09 May 2026
Alexander Aue, Sebastian Kühnert, Gregory Rice and Jeremy VanderDoes
University of California, Davis, affiliation not provided to SSRN, University of Waterloo - Department of Statistics and Actuarial Science and University of Waterloo
Downloads 6 (1,575,921)

Abstract:

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ARCH, financial time series, functional data, parameter estimation, stationary solutions