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

Autor: Fearghal Kearney, Han Lin Shang

Publikováno v: Shang, H L & Kearney, F 2022, ' Dynamic functional time-series forecasts of foreign exchange implied volatility surfaces ', International Journal of Forecasting, vol. 38, no. 3, pp. 1025-1049 . https://doi.org/10.1016/j.ijforecast.2021.07.011

This paper presents static and dynamic versions of univariate, multivariate, and multilevel functional time-series methods to forecast implied volatility surfaces in foreign exchange markets. We find that dynamic functional principal component analys

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::c1a98c04c55a90a8000eac877daf9690
https://doi.org/10.1016/j.ijforecast.2021.07.011

Momentum and the cross-section of stock volatility

Autor: Youwei Li, Minyou Fan, Fearghal Kearney, Jiadong Liu

Publikováno v: Fan, M, Kearney, F, Li, Y & Liu, J 2022, ' Momentum and the cross-section of stock volatility ', Journal of Economic Dynamics and Control, vol. 144, 104524 . https://doi.org/10.1016/j.jedc.2022.104524

Recent literature shows that momentum strategies exhibit significant downside risks over certain periods, or called "momentum crashes." We find that the high uncertainty of momentum strategies is sourced from the cross-sectional volatility of individ

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::80c42219dadd11536e975fcc808e3879
https://pure.qub.ac.uk/en/publications/71d21b48-9ed2-48a0-8c92-81c3d6c07730

Commodity risk in European dairy firms

Autor: Guillaume Bagnarosa, Fearghal Kearney, Mark Cummins, Michael Dowling

Publikováno v: Bagnarosa, Guillaume ORCID: 0000-0002-3679-790X , Cummins, Mark ORCID: 0000-0002-3539-8843 , Dowling, Michael ORCID: 0000-0002-8093-9039 and Kearney, Fearghal ORCID: 0000-0002-3251-8707 (2021) Commodity risk in European dairy firms. European Review of Agricultural Economics, 49 (1). pp. 151-181. ISSN 0165-1587
Bagnarosa, G, Cummins, M, Dowling, M & Kearney, F 2022, ' Commodity risk in European dairy firms ', European Review of Agricultural Economics, vol. 49, no. 1, pp. 151-181 . https://doi.org/10.1093/erae/jbab050

We apply a multivariate mixed-data sampling (MIDAS) conditional quantile regression technique to understand the dairy commodity exposure of European dairy firms. Leveraging a theoretically sound hedonic dairy pricing framework, we show that our appro

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::1c3eb061118f0584c681a9b2fedac51b
http://doras.dcu.ie/26703/

Future directions in international financial integration research - A crowdsourced perspective

Autor: Nebojsa Dimic, Charles James Larkin, Simon Wolfe, Laura Ballester, Larisa Yarovaya, Brian M. Lucey, Richard McGee, Viviana Fernandez, Frank McGroarty, Leonidas G. Barbopoulos, Conor Neville, Anh N. Vu, Vanja Piljak, Pia Helbing, Fearghal Kearney, Roald J. Versteeg, Igor Loncarski, Aleksandar Šević, Andrea Zaghini, Samuel A. Vigne, Annika Lindblad, Riste Ichev, Janusz Brzeszczyński, Fabian Gogolin, Martha O'Hagan-Luff, Dimitrios Stafylas, Ana González-Urteaga, Matej Marinč, Andrew Urquhart, Elaine Laing, Xin Sheng, Kim Cuong Ly, Oscar Carchano, John W. Goodell

Publikováno v: Lucey, B M, Vigne, S, Ballester, L, Barbopoulos, L, Brzeszczynski, J, Carchano, O, Dimic, N, Fernandez, V, Gogolin, F, González-Urteaga, A, Goodell, J W, Helbing, P, Ichev, R, Kearney, F, Laing, E, Larkin, C J, Lindblad, A, Loncarski, I, Ly, K C, Marinc, M, McGee, R J, McGroarty, F, Neville, C, O’Hagan-Luff, M, Piljak, V, Sevic, A, Sheng, X, Stafylas, D, Urquhart, A, Versteeg, R, Vu, A N, Wolfe, S, Yarovaya, L & Zaghini, A 2018, ' Future directions in International Financial Integration Research-A Crowdsourced Perspective ', International Review of Financial Analysis, vol. 55, pp. 35-49 . https://doi.org/10.1016/j.irfa.2017.10.008
Academica-e: Repositorio Institucional de la Universidad Pública de Navarra
Universidad Pública de Navarra
Academica-e. Repositorio Institucional de la Universidad Pública de Navarra
instname

This paper is the result of a crowdsourced effort to surface perspectives on the present and future direction of international finance. The authors are researchers in financial economics who attended the INFINITI 2017 conference in the University of

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::14e5bbe451f5f1b859c2e4f5ecb55d33
https://doi.org/10.1016/j.irfa.2017.10.008

Uncovering predictability in the evolution of the WTI oil futures curve

Autor: Fearghal Kearney, Han Lin Shang

Publikováno v: Kearney, F & Shang, H L 2020, ' Uncovering Predictability in the Evolution of the WTI Oil Futures Curve ', European Financial Management, vol. 26, no. 1, pp. 238-257 . https://doi.org/10.1111/eufm.12212

Accurately forecasting the price of oil, the world's most actively traded commodity, is of great importance to both academics and practitioners. We contribute by proposing a functional time series based method to model and forecast oil futures. Our a

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::f2ed4d36ce30f4582517856ec72d7993
http://arxiv.org/abs/1901.02248