2 papers
stat.ME2025
Stock Return Prediction based on a Functional Capital Asset Pricing Model
Ufuk Beyaztas, Kaiying Ji, Han Lin Shang +1
The capital asset pricing model (CAPM) is readily used to capture a linear relationship between the daily returns of an asset and a market index. We extend this model to an intrada…
stat.ME2020
Granger causality of bivariate stationary curve time series
Han Lin Shang, Kaiying Ji, Ufuk Beyaztas
We study causality between bivariate curve time series using the Granger causality generalized measures of correlation. With this measure, we can investigate which curve time serie…