Yuqian Zhao

University of Essex

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Tests for Conditional Heteroscedasticity of Functional Data

Journal of Time Series Analysis, Vol. 41, Issue 6, pp. 733-758, 2020
Number of pages: 26 Posted: 06 Oct 2020
Gregory Rice, Tony S. Wirjanto and Yuqian Zhao
University of Waterloo - Department of Statistics and Actuarial Science, University of Waterloo - School of Accounting and Finance and University of Essex
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Abstract:

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Functional time series, heteroscedasticity testing, model diagnostic checking, high‐frequency volatility models, intra‐day asset price