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Forecasting Implied Volatility in Foreign Exchange Markets : A Functional Times Series Approach

Kearney, Fearghal - 2016

We utilise functional time series (FTS) techniques to characterise and forecast implied volatility in foreign exchange … markets. In particular, we examine the daily implied volatility curves of FX options, namely; EUR-USD, EUR-GBP, and EUR … volatility shapes that closely match empirical data during the volatile 2006-2013 period. Furthermore, the FTS model …

Persistent link: https://www.econbiz.de/10013004985

Tales of tails : jumps in currency markets

Lee, Suzanne S.; Wang, Minho - In: Journal of financial markets 48 (2020), pp. 1-29

Persistent link: https://www.econbiz.de/10012631807

Forecasting major Asian exchange rates using a new semiparametric STAR model

Cai, Nan; Cai, Zongwu; Fang, Ying; Xu, Qiuhua - In: Empirical economics : a journal of the Institute for … 48 (2015) 1, pp. 407-426

Persistent link: https://www.econbiz.de/10011287504

SEMIFAR forecasts, with applications to foreign exchange rates

Beran, Jan; Ocker, Dirk - 1999

SEMIFAR models introduced in Beran (1999) provide a semiparametric modelling framework that enables the data analyst to separate deterministic and stochastic trends as well as short- and long-memory components in an observed time series. A correct distinction between these components, and in...

Persistent link: https://www.econbiz.de/10011544579