Bo Hu, Joon Y. Park, Junhui Qian
arXiv 21 May 2025 · Econometrics
arXiv:2505.15763 · PDF · DOI · OpenAlex · Extracted main text
This paper introduces a novel approach to investigate the dynamics of state distributions, which accommodate both cross-sectional distributions of repeated panels and intra-period distributions of a time series observed at high frequency. In our approach, densities of the state distributions are regarded as functional elements in a Hilbert space, and are assumed to follow a functional autoregressive model. We propose an estimator for the autoregressive operator, establish its consistency, and provide tools and asymptotics to analyze the forecast of state density and the moment dynamics of state distributions. We apply our methodology to study the time series of distributions of the GBP/USD exchange rate intra-month returns and the time series of cross-sectional distributions of the NYSE stocks monthly returns. Finally, we conduct simulations to evaluate the density forecasts based on our model.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Mas, A (2007) Weak convergence in the functional autoregressive model | 0.794 | 6 | 3 | 50% |
| 2 | Bosq, D (2000) Linear Processes in Function Spaces: Theory and Applications | 0.766 | 20 | 4 | 45% |
| 3 | Engle, R. F., Lilien, D. M., Robins, R. P (1987) Estimating time varying risk premia in the term structure: The ARCH-M model | 0.644 | 2 | 2 | 100% |
| 4 | Antoniadis, A., Paparoditis, E., Sapatinas, T (2006) A functional wavelet–kernel approach for time series prediction | 0.405 | 1 | 1 | 100% |
| 5 | Aue, A., Horváth, L., Pellatt, D. F (2017) Functional generalized autoregressive conditional heteroskedasticity | 0.405 | 1 | 1 | 100% |
| 6 | Aue, A., Norinho, D. D., Hörmann, S (2015) On the prediction of stationary functional time series | 0.405 | 1 | 1 | 100% |
| 7 | Benatia, D., Carrasco, M., Florens, J.-P (2017) Functional linear regression with functional response | 0.405 | 1 | 1 | 100% |
| 8 | Besse, P. C., Cardot, H., Stephenson, D. B (2000) Autoregressive forecasting of some functional climatic variations | 0.405 | 1 | 1 | 100% |
| 9 | Bollerslev, T (1986) Generalized autoregressive conditional heteroskedasticity | 0.405 | 1 | 1 | 100% |
| 10 | van den Boogaart, K. G., Egozcue, J. J., Pawlowsky-Glahn, V (2014) Bayes Hilbert spaces | 0.405 | 1 | 1 | 100% |
Showing the top 10 of 31 scored citations.