<?xml version="1.0" encoding="UTF-8"?><xml><records><record><source-app name="Biblio" version="6.x">Drupal-Biblio</source-app><ref-type>17</ref-type><contributors><authors><author><style face="normal" font="default" size="100%">Horta, Eduardo</style></author><author><style face="normal" font="default" size="100%">Flavio Ziegelmann</style></author></authors></contributors><titles><title><style face="normal" font="default" size="100%">Dynamics of financial returns densities: A functional approach applied to the Bovespa intraday index</style></title><secondary-title><style face="normal" font="default" size="100%">International Journal of Forecasting</style></secondary-title></titles><dates><year><style  face="normal" font="default" size="100%">2018</style></year></dates><volume><style face="normal" font="default" size="100%">34</style></volume><pages><style face="normal" font="default" size="100%">75-88</style></pages><abstract><style face="normal" font="default" size="100%">&lt;p&gt;We model the stochastic evolution of the probability density functions (PDFs) of Ibovespa intraday returns over business days, in a functional time series framework. We find evidence that the dynamic structure of the PDFs reduces to a vector process lying in a two-dimensional space. Our main contributions are as follows. First, we provide further insights into the finite-dimensional decomposition of the curve process: it is shown that its evolution can be interpreted as a dynamic dispersion-symmetry shift. Second, we provide an application to realized volatility forecasting, with a forecasting ability that is comparable to those of HAR realized volatility models in the model confidence set framework.&lt;/p&gt;
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