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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.ME2023★ 2 cited
Forecasting intraday financial time series with sieve bootstrapping and dynamic updating
Han Lin Shang, Kaiying Ji
Intraday financial data often take the form of a collection of curves that can be observed sequentially over time, such as intraday stock price curves. These curves can be viewed a…
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…