An analysis of implied volatility jump dynamics: Novel functional data representation in crude oil markets
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DOI: 10.1016/j.najef.2015.04.006
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- Kearney, Fearghal & Shang, Han Lin & Sheenan, Lisa, 2019.
"Implied volatility surface predictability: The case of commodity markets,"
Journal of Banking & Finance, Elsevier, vol. 108(C).
- Fearghal Kearney & Han Lin Shang & Lisa Sheenan, 2019. "Implied volatility surface predictability: the case of commodity markets," Papers 1909.11009, arXiv.org.
- Shang, Han Lin & Kearney, Fearghal, 2022.
"Dynamic functional time-series forecasts of foreign exchange implied volatility surfaces,"
International Journal of Forecasting, Elsevier, vol. 38(3), pages 1025-1049.
- Han Lin Shang & Fearghal Kearney, 2021. "Dynamic functional time-series forecasts of foreign exchange implied volatility surfaces," Papers 2107.14026, arXiv.org.
- Nagy, Stanislav, 2017. "Integrated depth for measurable functions and sets," Statistics & Probability Letters, Elsevier, vol. 123(C), pages 165-170.
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Keywords
Commodity options; Implied volatility; Jump diffusion models; Functional data analysis;All these keywords.
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