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A comparison of hurst exponent estimators in long-range dependent curve time series

Shang, Han Lin - In: Journal of time series econometrics 12 (2020) 1, pp. 1-39

Persistent link: https://www.econbiz.de/10012258318

Intraday forecasts of a volatility index : functional time series methods with dynamic updating

Shang, Han Lin; Yang, Yang; Kearney, Fearghal - In: Application of operations research to financial markets, (pp. 331-354). 2019

Persistent link: https://www.econbiz.de/10012160005

Implied volatility surface predictability : the case of commodity markets

Kearney, Fearghal; Shang, Han Lin; Sheenan, Lisa - In: Journal of banking & finance 108 (2019), pp. 1-16

Persistent link: https://www.econbiz.de/10012224756

An IID test for functional time series with applications to high-frequency VIX index data

Huang, Xin; Shang, Han Lin; Siu, Tak Kuen - In: Risks : open access journal 13 (2025) 2, pp. 1-25

To address a key issue in functional time series analysis on testing the randomness of an observed series, we propose an IID test for functional time series by generalizing the Brock-Dechert-Scheinkman (BDS) test, which is commonly used for testing nonlinear independence. Similarly to the BDS...

Persistent link: https://www.econbiz.de/10015333723

Dynamic functional time-series forecasts of foreign exchange implied volatility surfaces

Shang, Han Lin; Kearney, Fearghal - In: International journal of forecasting 38 (2022) 3, pp. 1025-1049

Persistent link: https://www.econbiz.de/10013349639