2025/05/21 by Bo Hu, Hu, Bo, Joon Young Park +3
Economics, Econometrics and Finance · Engineering · #Econometrics (econ.EM) #FOS: Economics and business #Fluid Dynamics and Turbulent Flows #Monetary Policy and Economic Impact #Reservoir Engineering and Simulation Methods
paper · pdf · doi:10.48550/arxiv.2505.15763
openalex publication_date 2025/05/21 · openalex created_date 2025/10/19 · openalex updated_date 2026/07/28
This paper introduces a novel approach to investigate the dynamics of state distributions, which accommodate both cross-sectional distributions of repeated panels and intra-period distributions of a time series observed at high frequency. In our approach, densities of the state distributions are regarded as functional elements in a Hilbert space, and are assumed to follow a functional autoregressive model. We propose an estimator for the autoregressive operator, establish its consistency, and provide tools and asymptotics to analyze the forecast of state density and the moment dynamics of state distributions. We apply our methodology to study the time series of distributions of the GBP/USD exchange rate intra-month returns and the time series of cross-sectional distributions of the NYSE stocks monthly returns. Finally, we conduct simulations to evaluate the density forecasts based on our model.