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20182023
most citedImplied volatility surface predictability: the case of commodity markets

8 citations · 8 across the 5 of their papers we have counts for

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stat.ME2023

Intraday FX Volatility-Curve Forecasting with Functional GARCH Approaches

Fearghal Kearney, Han Lin Shang, Yuqian Zhao

This paper seeks to forecast intraday volatility curves for major foreign exchange (FX) currencies using functional GARCH models. Intraday return curves are observed at a daily fre…