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Curve forecasting by functional autoregression. (2008). Onatski, Alexei ; Kargin, Vladislav.
In: Journal of Multivariate Analysis.
RePEc:eee:jmvana:v:99:y:2008:i:10:p:2508-2526.

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  1. Breaks in term structures: Evidence from the oil futures markets. (2024). Miller, Curtis ; Liu, Zhenya ; Horvath, Lajos ; Tang, Weiqing.
    In: International Journal of Finance & Economics.
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  2. Nonlinear prediction of functional time series. (2023). Cao, Jiguo ; Wang, Haixu.
    In: Environmetrics.
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  3. Empirical Asset Pricing with Functional Factors*. (2023). Sancetta, Alessio ; Nadler, Philip.
    In: Journal of Financial Econometrics.
    RePEc:oup:jfinec:v:21:y:2023:i:4:p:1258-1281..

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  4. Exploring volatility of crude oil intraday return curves: A functional GARCH-X model. (2023). Wirjanto, Tony ; Rice, Gregory ; Zhao, Yuqian.
    In: Journal of Commodity Markets.
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  5. Resolvent estimators for functional autoregressive processes with random coefficients. (2022). Mourid, Tahar ; Boukhiar, Souad.
    In: Journal of Multivariate Analysis.
    RePEc:eee:jmvana:v:189:y:2022:i:c:s0047259x21001627.

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  6. Forecasting: theory and practice. (2022). Shang, Han Lin ; Rubaszek, Michał ; Martinez, Andrew ; Grossi, Luigi ; Franses, Philip Hans ; Fiszeder, Piotr ; Clements, Michael ; Castle, Jennifer ; Carnevale, Claudio ; Kolassa, Stephan ; Thorarinsdottir, Thordis ; Guo, Xiaojia ; Reade, James J ; Petropoulos, Fotios ; Nikolopoulos, Konstantinos ; Koehler, Anne B ; Thomakos, Dimitrios ; Browell, Jethro ; Rapach, David E ; Modis, Theodore ; Kang, Yanfei ; Tashman, Len ; Boylan, John E ; Gunter, Ulrich ; Ramos, Patricia ; Ellison, Joanne ; Meeran, Sheik ; Richmond, Victor ; Talagala, Thiyanga S ; Bijak, Jakub ; Guidolin, Massimo ; Pinson, Pierre ; Dokumentov, Alexander ; Jeon, Jooyoung ; Bessa, Ricardo J ; Pedregal, Diego J ; de Baets, Shari ; Ziel, Florian ; Syntetos, Aris A ; Bergmeir, Christoph
  7. Seasonal functional autoregressive models. (2022). Hyndman, Rob ; Hashemi, Maryam ; Haghbin, Hossein ; Zamani, Atefeh.
    In: Journal of Time Series Analysis.
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  8. Forecasting Environmental Data: An example to ground-level ozone concentration surfaces. (2022). Gleim, Alexander ; Salish, Nazarii.
    In: Papers.
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  9. Dynamic Factor Model for Functional Time Series: Identification, Estimation, and Prediction. (2022). Salish, Nazarii ; Otto, Sven.
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  10. Exploring volatility of crude oil intra-day return curves: a functional GARCH-X Model. (2021). Zhao, Yuqian ; Wirjanto, Tony ; Rice, Gregory.
    In: MPRA Paper.
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  11. Neural network prediction of crude oil futures using B-splines. (2021). Shang, Han Lin ; Miao, Hong ; Kokoszka, Piotr ; Butler, Sunil.
    In: Energy Economics.
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  12. Estimation of a nonparametric model for bond prices from cross-section and time series information. (2021). LINTON, OLIVER ; la Vecchia, Davide ; Koo, Bonsoo.
    In: Journal of Econometrics.
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  13. Functional time series model identification and diagnosis by means of auto- and partial autocorrelation analysis. (2021). Alonso, Estrella ; san Roque, Antonio Muoz ; Rice, Gregory ; Portela, Jose ; Mestre, Guillermo.
    In: Computational Statistics & Data Analysis.
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  14. Estimation of a Nonparametric Model for Bond Prices from Cross-Section and Time Series Information. (2020). Linton, Oliver ; la Vecchia, Davide ; Koo, Bonsoo .
    In: Monash Econometrics and Business Statistics Working Papers.
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  15. A functional time series analysis of forward curves derived from commodity futures. (2020). Wang, Shixuan ; Horvath, Lajos ; Liu, Zhenya ; Rice, Gregory.
    In: International Journal of Forecasting.
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  16. A general white noise test based on kernel lag-window estimates of the spectral density operator. (2020). Rice, Gregory ; Characiejus, Vaidotas.
    In: Econometrics and Statistics.
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  17. Functional Autoregression for Sparsely Sampled Data. (2019). Ruppert, David ; Matteson, David S ; Kowal, Daniel R.
    In: Journal of Business & Economic Statistics.
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  18. Seasonal Functional Autoregressive Models. (2019). Hyndman, Rob J ; Hashemi, Maryam ; Haghbin, Hossein ; Zamani, Atefeh.
    In: Monash Econometrics and Business Statistics Working Papers.
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  19. Best linear predictor of a C[0,1]-valued functional autoregressive process. (2019). Mourid, Tahar ; Kloucha, Meryem Kada.
    In: Statistics & Probability Letters.
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  20. A bootstrap-based KPSS test for functional time series. (2019). Pun, Chi Seng ; Chen, Yichao.
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  21. Nonparametric Recovery of the Yield Curve Evolution from Cross-Section and Time Series Information. (2019). LINTON, OLIVER ; la Vecchia, D ; Koo, B.
    In: Cambridge Working Papers in Economics.
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  22. Nonparametric Forecasting of Multivariate Probability Density Functions. (2018). Guegan, Dominique ; Iacopini, Matteo.
    In: Working Papers.
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  23. Nonparameteric forecasting of multivariate probability density functions. (2018). Iacopini, Matteo ; Guegan, Dominique.
    In: Documents de travail du Centre d'Economie de la Sorbonne.
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  24. Nonparametric forecasting of multivariate probability density functions. (2018). Iacopini, Matteo ; Guegan, Dominique.
    In: Post-Print.
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  25. Nonparametric forecasting of multivariate probability density functions. (2018). Iacopini, Matteo ; Guegan, Dominique.
    In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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  26. Cointegration in functional autoregressive processes. (2018). Paruolo, Paolo ; Franchi, Massimo.
    In: Papers.
    RePEc:arx:papers:1712.07522.

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  27. Cointegration in functional autoregressive processes. (2017). Paruolo, Paolo ; Franchi, Massimo.
    In: DSS Empirical Economics and Econometrics Working Papers Series.
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  28. Varying coefficient functional autoregressive model with application to the U.S. treasuries. (2017). Xu, Meng ; Chen, Ying ; Li, Jialiang.
    In: Journal of Multivariate Analysis.
    RePEc:eee:jmvana:v:159:y:2017:i:c:p:168-183.

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  29. An innovations algorithm for the prediction of functional linear processes. (2017). Klepsch, J ; Kluppelberg, C.
    In: Journal of Multivariate Analysis.
    RePEc:eee:jmvana:v:155:y:2017:i:c:p:252-271.

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  30. Asymptotic properties of a component-wise ARH(1) plug-in predictor. (2017). Alvarez-Liebana, J ; Ruiz-Medina, M D ; Bosq, D.
    In: Journal of Multivariate Analysis.
    RePEc:eee:jmvana:v:155:y:2017:i:c:p:12-34.

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  31. On the CLT for discrete Fourier transforms of functional time series. (2017). Cerovecki, Clement ; Hormann, Siegfried.
    In: Journal of Multivariate Analysis.
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  32. Prediction of functional ARMA processes with an application to traffic data. (2017). Klepsch, J ; Wei, T ; Kluppelberg, C.
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  33. Functional linear regression with functional response. (2017). Benatia, David ; Carrasco, Marine ; FLORENS, Jean-Pierre.
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  34. Cointegrated Linear Processes in Hilbert Space. (2017). Beare, Brendan ; Seo, Won-Ki.
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  35. A Plug-in Bandwidth Selection Procedure for Long-Run Covariance Estimation with Stationary Functional Time Series. (2017). Shang, Han Lin ; Rice, Gregory.
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  36. Consistency of the plug-in functional predictor of the Ornstein–Uhlenbeck process in Hilbert and Banach spaces. (2016). Alvarez-Liebana, Javier ; Ruiz-Medina, Maria D ; Bosq, Denis .
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  37. Detecting and estimating intensity of jumps for discretely observed ARMAD(1,1) processes. (2016). Blanke, D ; Bosq, D.
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  38. Constrained functional time series: Applications to the Italian gas market. (2016). Vantini, Simone ; Canale, Antonio.
    In: International Journal of Forecasting.
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  39. White noise testing and model diagnostic checking for functional time series. (2016). Zhang, Xianyang.
    In: Journal of Econometrics.
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  40. On the Prediction of Stationary Functional Time Series. (2015). Aue, Alexander ; Hrmann, Siegfried ; Norinho, Diogo Dubart .
    In: Journal of the American Statistical Association.
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  42. Computing the best linear predictor in a Hilbert space. Applications to general ARMAH processes. (2014). Bosq, D..
    In: Journal of Multivariate Analysis.
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  43. Testing stationarity of functional time series. (2014). Horvath, Lajos ; Rice, Gregory ; Kokoszka, Piotr.
    In: Journal of Econometrics.
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  44. Conditional estimation for dependent functional data. (2013). Sancetta, Alessio ; Battey, Heather .
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  45. Test of independence for functional data. (2013). Horvath, Lajos ; Rice, Gregory ; Hukova, Marie.
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  46. Monitoring the Intraday Volatility Pattern. (2013). Robertas, Gabrys ; Piotr, Kokoszka ; Siegfried, Hormann .
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  47. Empirical properties of forecasts with the functional autoregressive model. (2012). Zhang, XI ; Kokoszka, Piotr ; Didericksen, Devin .
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  48. Detecting changes in functional linear models. (2012). Horvath, Lajos ; Reeder, Ron .
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  49. Testing the stability of the functional autoregressive process. (2010). Horvath, Lajos ; Kokoszka, Piotr ; Huskova, Marie .
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  50. Functional clustering and linear regression for peak load forecasting. (2010). Goia, Aldo ; Fusai, Gianluca ; May, Caterina .
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  51. DOES CURVATURE ENHANCE FORECASTING?. (2009). Almeida, Caio ; Vicente, Jose ; Simonsen, Axel ; Leite, Andre ; Gomes, Romeu .
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  52. Rainbow plots, Bagplots and Boxplots for Functional Data. (2008). Shang, Han Lin ; Hyndman, Rob.
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  53. The dynamics of economics functions: modelling and forecasting the yield curve. (2008). Meeks, Roland ; Bowsher, Clive.
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  54. The role of no-arbitrage on forecasting: lessons from a parametric term structure model. (2007). Vicente, José Valentim ; Almeida, Caio.
    In: FGV/EPGE Economics Working Papers (Ensaios Economicos da EPGE).
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  55. High Dimensional Yield Curves: Models and Forecasting. (2006). Meeks, Roland ; Bowsher, Clive.
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  16. Functional Wavelet-Based Modelling of Dependence Between Lupus and Stress. (2015). Aguilera, Ana M ; Valderrama, Mariano J ; Ocaa, Francisco A ; Escabias, Manuel.
    In: Methodology and Computing in Applied Probability.
    RePEc:spr:metcap:v:17:y:2015:i:4:d:10.1007_s11009-014-9424-5.

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  17. Testing stationarity of functional time series. (2014). Horvath, Lajos ; Rice, Gregory ; Kokoszka, Piotr.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:179:y:2014:i:1:p:66-82.

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  18. On a minimum distance estimate of the period in functional autoregressive processes. (2012). Mourid, Tahar ; Benyelles, Wafaa .
    In: Journal of Applied Statistics.
    RePEc:taf:japsta:v:39:y:2012:i:8:p:1703-1718.

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  19. Empirical properties of forecasts with the functional autoregressive model. (2012). Zhang, XI ; Kokoszka, Piotr ; Didericksen, Devin .
    In: Computational Statistics.
    RePEc:spr:compst:v:27:y:2012:i:2:p:285-298.

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  20. Periodically correlated autoregressive Hilbertian processes. (2011). Hashemi, M. ; Soltani, A..
    In: Statistical Inference for Stochastic Processes.
    RePEc:spr:sistpr:v:14:y:2011:i:2:p:177-188.

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  21. Nonparametric time series forecasting with dynamic updating. (2011). Shang, Han Lin ; Hyndman, Rob ; Hyndman, Rob. J., .
    In: Mathematics and Computers in Simulation (MATCOM).
    RePEc:eee:matcom:v:81:y:2011:i:7:p:1310-1324.

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  22. Testing the stability of the functional autoregressive process. (2010). Horvath, Lajos ; Kokoszka, Piotr ; Huskova, Marie .
    In: Journal of Multivariate Analysis.
    RePEc:eee:jmvana:v:101:y:2010:i:2:p:352-367.

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  23. Nonparametric time series forecasting with dynamic updating. (2009). Shang, Han Lin ; Hyndman, Rob.
    In: Monash Econometrics and Business Statistics Working Papers.
    RePEc:msh:ebswps:2009-8.

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  24. Bandwidth selection for functional time series prediction. (2009). Antoniadis, Anestis ; Sapatinas, Theofanis ; Paparoditis, Efstathios.
    In: Statistics & Probability Letters.
    RePEc:eee:stapro:v:79:y:2009:i:6:p:733-740.

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  25. Estimation of the autoregressive operator by wavelet packets. (2009). Laukaitis, Algirdas ; Vasilecas, Olegas.
    In: Statistics & Probability Letters.
    RePEc:eee:stapro:v:79:y:2009:i:1:p:38-43.

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  26. Estimation of a change-point in the mean function of functional data. (2009). Horvath, Lajos ; Aue, Alexander ; Gabrys, Robertas ; Kokoszka, Piotr.
    In: Journal of Multivariate Analysis.
    RePEc:eee:jmvana:v:100:y:2009:i:10:p:2254-2269.

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  27. Detecting changes in the mean of functional observations. (2009). Horvath, Lajos ; Berkes, Istvan ; Gabrys, Robertas ; Kokoszka, Piotr.
    In: Journal of the Royal Statistical Society Series B.
    RePEc:bla:jorssb:v:71:y:2009:i:5:p:927-946.

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  28. Curve forecasting by functional autoregression. (2008). Onatski, Alexei ; Kargin, Vladislav.
    In: Journal of Multivariate Analysis.
    RePEc:eee:jmvana:v:99:y:2008:i:10:p:2508-2526.

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  29. Functional data analysis for cash flow and transactions intensity continuous-time prediction using Hilbert-valued autoregressive processes. (2008). Laukaitis, Algirdas.
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:185:y:2008:i:3:p:1607-1614.

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  30. Weak convergence in the functional autoregressive model. (2007). Mas, Andre .
    In: Journal of Multivariate Analysis.
    RePEc:eee:jmvana:v:98:y:2007:i:6:p:1231-1261.

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  31. On the Kernel Rule for Function Classification. (2006). Biau, G. ; Abraham, C. ; Cadre, B..
    In: Annals of the Institute of Statistical Mathematics.
    RePEc:spr:aistmt:v:58:y:2006:i:3:p:619-633.

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  32. Forecasting non-stationary time series by wavelet process modelling. (2003). Bellegem, Sebastien ; Sachs, Rainer ; Fryzlewicz, Piotr.
    In: Annals of the Institute of Statistical Mathematics.
    RePEc:spr:aistmt:v:55:y:2003:i:4:p:737-764.

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