Gregory Rice

University of Waterloo - Department of Statistics and Actuarial Science

200 University Avenue West

Waterloo, Ontario N2L 3G1

Croatia

SCHOLARLY PAPERS

4

DOWNLOADS

194

SSRN CITATIONS

1

CROSSREF CITATIONS

0

Scholarly Papers (4)

1.

A Functional Time Series Analysis of Forward Curves Derived from Commodity Futures

Number of pages: 38 Posted: 27 Aug 2018 Last Revised: 29 Jul 2019
University of Utah - Department of Mathematics, Renmin University of China, University of Waterloo - Department of Statistics and Actuarial Science and University of Reading - Department of Economics
Downloads 128 (270,501)

Abstract:

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Forward curves, S&P GSCI, Commodity Futures, Functional Data Analysis, Functional Autoregressive Models, Functional Principal Component Analysis

2.

Sequential Monitoring for Changes from Stationarity to Mild Non-stationarity

Number of pages: 55 Posted: 16 Oct 2018 Last Revised: 10 Jun 2019
University of Utah - Department of Mathematics, Renmin University of China, University of Waterloo - Department of Statistics and Actuarial Science and University of Reading - Department of Economics
Downloads 66 (410,909)
Citation 1

Abstract:

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change point detection, stationarity testing, normal approximation, non-stationary ARMA time series, non-stationary GARCH time series

3.

Tests for Conditional Heteroscedasticity of Functional Data

Journal of Time Series Analysis, Vol. 41, Issue 6, pp. 733-758, 2020
Number of pages: 26 Posted: 06 Oct 2020
Gregory Rice, Tony S. Wirjanto and Yuqian Zhao
University of Waterloo - Department of Statistics and Actuarial Science, University of Waterloo - School of Accounting and Finance and University of Essex
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Abstract:

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Functional time series, heteroscedasticity testing, model diagnostic checking, high‐frequency volatility models, intra‐day asset price

4.

Inference for the Lagged Cross‐Covariance Operator between Functional Time Series

Journal of Time Series Analysis, Vol. 40, Issue 5, pp. 665-692, 2019
Number of pages: 28 Posted: 29 May 2020
Gregory Rice and Marco Shum
University of Waterloo - Department of Statistics and Actuarial Science and University of Waterloo
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Abstract:

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Functional data analysis, change point analysis