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Han Lin Shang
Australian National University
69Publications
13H-index
771Citations
Publications 72
Newest
Functional data analysis tools, such as function-on-function regression models, have received considerable attention in various scientific fields because of their observed high-dimensional and complex data structures. Several statistical procedures, including least squares, maximum likelihood, and maximum penalized likelihood, have been proposed to estimate such function-on-function regression models. However, these estimation techniques produce unstable estimates in the case of degenerate funct...
#1Ufuk Beyaztas (Bartın University)H-Index: 1
#2Han Lin Shang (ANU: Australian National University)H-Index: 13
ABSTRACTFunctional time series whose sample elements are recorded sequentially over time are frequently encountered with increasing technology. Recent studies have shown that analyzing and forecast...
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#1Han Lin Shang (ANU: Australian National University)H-Index: 13
#2Yang Yang (ANU: Australian National University)H-Index: 1
Last.Fearghal Kearney ('QUB': Queen's University Belfast)H-Index: 5
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As a forward-looking measure of future equity market volatility, the VIX index has gained immense popularity in recent years to become a key measure of risk for market analysts and academics. We consider discrete reported intraday VIX tick values as realisations of a collection of curves observed sequentially on equally spaced and dense grids over time and utilise functional data analysis techniques to produce 1-day-ahead forecasts of these curves. The proposed method facilitates the investigati...
1 CitationsSource
#1Fearghal Kearney ('QUB': Queen's University Belfast)H-Index: 5
#2Han Lin Shang (ANU: Australian National University)H-Index: 13
Last.Lisa Sheenan ('QUB': Queen's University Belfast)
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Abstract Recent literature seek to forecast implied volatility derived from equity, index, foreign exchange, and interest rate options using latent factor and parametric frameworks. Motivated by increased public attention borne out of the financialization of futures markets in the early 2000s, we investigate if these extant models can uncover predictable patterns in the implied volatility surfaces of the most actively traded commodity options between 2006 and 2016. Adopting a rolling out-of-samp...
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#1Piotr Kokoszka (CSU: Colorado State University)H-Index: 33
#2Hong Miao (CSU: Colorado State University)H-Index: 11
Last.Han Lin Shang (ANU: Australian National University)H-Index: 13
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Abstract This paper is concerned with the forecasting of probability density functions. Density functions are nonnegative and have a constrained integral, and thus do not constitute a vector space. The implementation of established functional time series forecasting methods for such nonlinear data is therefore problematic. Two new methods are developed and compared to two existing methods. The comparison is based on the densities derived from cross-sectional and intraday returns. For such data, ...
3 CitationsSource
#1Han Lin Shang (ANU: Australian National University)H-Index: 13
When generating social policies and pricing annuity at national and subnational levels, it is essential both to forecast mortality accurately and ensure that forecasts at the subnational level add up to the forecasts at the national level. This has motivated recent developments in forecasting functional time series in a group structure, where static principal component analysis is used. In the presence of moderate to strong temporal dependence, static principal component analysis designed for in...
2 CitationsSource
We consider a compositional data analysis approach to forecasting the age distribution of death counts. Using the age-specific period life-table death counts in Australia obtained from the Human Mortality Database, the compositional data analysis approach produces more accurate one- to 20-step-ahead point and interval forecasts than Lee-Carter method, Hyndman-Ullah method, and two naive random walk methods. The improved forecast accuracy of period life-table death counts is of great interest to ...
#1Degui Li (Ebor: University of York)H-Index: 12
#2Peter M. Robinson (LSE: London School of Economics and Political Science)H-Index: 51
Last.Han Lin Shang (ANU: Australian National University)H-Index: 13
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AbstractWe introduce methods and theory for functional or curve time series with long-range dependence. The temporal sum of the curve process is shown to be asymptotically normally distributed, the...
2 CitationsSource
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