2 papers
stat.ME2026
Testing for integer integration in functional time series
Won-Ki Seo, Han Lin Shang
We develop a statistical testing procedure to examine whether the curve-valued time series of interest is integrated of order d for an integer d. The proposed procedure can disting…
stat.ME2025
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…