8 citations · 8 across the 5 of their papers we have counts for
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q-fin.ST2021
Dynamic functional time-series forecasts of foreign exchange implied volatility surfaces
Han Lin Shang, Fearghal Kearney
This paper presents static and dynamic versions of univariate, multivariate, and multilevel functional time-series methods to forecast implied volatility surfaces in foreign exchan…
q-fin.ST2019★ 8 cited
Implied volatility surface predictability: the case of commodity markets
Fearghal Kearney, Han Lin Shang, Lisa Sheenan
Recent literature seek to forecast implied volatility derived from equity, index, foreign exchange, and interest rate options using latent factor and parametric frameworks. Motivat…