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Dynamic functional time-series forecasts of foreign exchange implied
  volatility surfaces

Dynamic functional time-series forecasts of foreign exchange implied volatility surfaces

22 July 2021
H. Shang
Fearghal Kearney
ArXiv (abs)PDFHTML

Papers citing "Dynamic functional time-series forecasts of foreign exchange implied volatility surfaces"

2 / 2 papers shown
Title
FuNVol: A Multi-Asset Implied Volatility Market Simulator using
  Functional Principal Components and Neural SDEs
FuNVol: A Multi-Asset Implied Volatility Market Simulator using Functional Principal Components and Neural SDEs
Vedant Choudhary
S. Jaimungal
Maxime Bergeron
81
13
0
01 Mar 2023
Functional Time Series Forecasting: Functional Singular Spectrum
  Analysis Approaches
Functional Time Series Forecasting: Functional Singular Spectrum Analysis Approaches
Jordan Trinka
H. Haghbin
Mehdi Maadooliat
AI4TS
12
2
0
26 Nov 2020
1