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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...
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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-JPY. Based on existing techniques in the literature, the...
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This paper introduces a parsimonious and yet flexible semiparametric model to forecast financial volatility. The new model extends the linear nonnegative autoregressive model of Barndorff-Nielsen and Shephard (2001) and Nielsen and Shephard (2003) by way of a power transformation. It is...
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