Forecasting implied volatility in foreign exchange markets : a functional time series approach
Fearghal Kearney, Mark Cummins and Finbarr Murphy
| Year of publication: |
2018
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| Authors: | Kearney, Fearghal ; Cummins, Mark ; Murphy, Finbarr |
| Published in: |
The European journal of finance. - Abingdon, Oxon : Routledge, Taylor & Francis Group, ISSN 1351-847X, ZDB-ID 1282412-4. - Vol. 24.2018, 1/3, p. 1-18
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| Subject: | Exchange rates | forecasting | functional data analysis | functional time series | implied volatility | Volatilität | Volatility | Wechselkurs | Exchange rate | Zeitreihenanalyse | Time series analysis | Prognoseverfahren | Forecasting model | Schätzung | Estimation | Theorie | Theory | Devisenmarkt | Foreign exchange market | ARMA-Modell | ARMA model | ARCH-Modell | ARCH model | Nichtparametrisches Verfahren | Nonparametric statistics |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/1351847X.2016.1271441 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012244257