Dynamic functional time-series forecasts of foreign exchange implied volatility surfaces
Han Lin Shang, Fearghal Kearney
| Year of publication: |
2022
|
|---|---|
| Authors: | Shang, Han Lin ; Kearney, Fearghal |
| Published in: |
International journal of forecasting. - Amsterdam [u.a.] : Elsevier, ISSN 0169-2070, ZDB-ID 283943-X. - Vol. 38.2022, 3, p. 1025-1049
|
| Subject: | Augmented common factor method | Functional principal component analysis | Long-run covariance | Stochastic processes | Univariate time-series forecasting | Zeitreihenanalyse | Time series analysis | Prognoseverfahren | Forecasting model | Volatilität | Volatility | Schätzung | Estimation | Wechselkurs | Exchange rate | Korrelation | Correlation | Hauptkomponentenanalyse | Principal component analysis | Schätztheorie | Estimation theory | Stochastischer Prozess | Stochastic process |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ijforecast.2021.07.011 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013349639