33 citations · 136 across the 34 of their papers we have counts for
5 papers · 1 filter
Intraday forecasts of a volatility index: Functional time series methods with dynamic updating
Han Lin Shang, Yang Yang, Fearghal Kearney
As a forward-looking measure of future equity market volatility, the VIX index has gained immense popularity in recent years to become a key measure of risk for market analysts and…
Estimation of a functional single index model with dependent errors and unknown error density
Han Lin Shang
The problem of error density estimation for a functional single index model with dependent errors is studied. A Bayesian method is utilized to simultaneously estimate the bandwidth…
Semiparametric Regression using Variational Approximations
Francis K. C. Hui, Chong You, Han Lin Shang +1
Semiparametric regression offers a flexible framework for modeling non-linear relationships between a response and covariates. A prime example are generalized additive models where…
High-dimensional functional time series forecasting: An application to age-specific mortality rates
Yuan Gao, Han Lin Shang, Yanrong Yang
We address the problem of forecasting high-dimensional functional time series through a two-fold dimension reduction procedure. The difficulty of forecasting high-dimensional funct…
Model confidence sets and forecast combination: An application to age-specific mortality
Han Lin Shang, Steven Haberman
Model averaging combines forecasts obtained from a range of models, and it often produces more accurate forecasts than a forecast from a single model. The crucial part of forecast…