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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…
stat.ME2023
A nonlinearity and model specification test for functional time series
Xin Huang, Han Lin Shang, Tak Kuen Siu
An important issue in functional time series analysis is whether an observed series comes from a purely random process. We extend the BDS test, a widely-used nonlinear independence…