8 citations · 8 across the 5 of their papers we have counts for
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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…
stat.AP2019
Uncovering predictability in the evolution of the WTI oil futures curve
Fearghal Kearney, Han Lin Shang
Accurately forecasting the price of oil, the world's most actively traded commodity, is of great importance to both academics and practitioners. We contribute by proposing a functi…