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Yang Yang
Australian National University
StatisticsEconometricsMathematicsFunctional data analysisVolatility (finance)
3Publications
2H-index
5Citations
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Publications 2
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#1Han Lin Shang (ANU: Australian National University)H-Index: 14
#2Yang Yang (ANU: Australian National University)H-Index: 2
Last. Fearghal Kearney ('QUB': Queen's University Belfast)H-Index: 6
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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...
2 CitationsSource
#1Han Lin Shang (ANU: Australian National University)H-Index: 14
#2Yang Yang (ANU: Australian National University)H-Index: 2
Age-specific mortality rates are often disaggregated by different attributes, such as sex and state. Forecasting age-specific mortality rates at the sub-national levels may not add up to the forecasts at the national level. Further, the independent forecasts may not utilize correlation among sub-populations to improve forecast accuracy. Using Japanese mortality data, we extend the grouped univariate functional time series methods to grouped multivariate functional time series forecasting methods...
3 CitationsSource
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