Forecasting implied volatility in foreign exchange markets : a functional time series approach
Year of publication: |
2018
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Authors: | Kearney, Fearghal ; Cummins, Mark ; Murphy, Finbarr |
Published in: |
The European journal of finance. - Abingdon, Oxon : Routledge, Taylor & Francis Group, ISSN 1351-847X, ZDB-ID 1282412-4. - Vol. 24.2018, 1/3, p. 1-18
|
Subject: | Exchange rates | forecasting | functional data analysis | functional time series | implied volatility | Wechselkurs | Exchange rate | Zeitreihenanalyse | Time series analysis | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Schätzung | Estimation | Schätztheorie | Estimation theory | Devisenmarkt | Foreign exchange market | Autokorrelation | Autocorrelation |
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