Functional Dynamic Factor Model for Intraday Price Curves

Piotr Kokoszka, Hong Miao and Xi Zhang

Journal of Financial Econometrics, 2015, vol. 13, issue 2, 456-477

Abstract: This article proposes a functional dynamic factor model for the evaluation of the impact of scalar– and curve–valued factors on the shapes of intraday price curves. The asymptotic theory leads to practically useful confidence intervals for the factor coefficients. The main findings pertain to the impact of the shapes of intraday oil futures on the shapes of intraday prices of blue chip stocks.

Keywords: functional factor model; intraday price curves; oil futures (search for similar items in EconPapers)
JEL-codes: C12 C32 C53 G14 (search for similar items in EconPapers)
Date: 2015
References: View complete reference list from CitEc
Citations: View citations in EconPapers (13)

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