:: Library Catalog

Imagen de Portada

Guardado en:

Detalles Bibliográficos
Autores principales:	Balabhadra, Greeshma, Ainasse, El Mehdi, Polak, Pawel
Formato:	Preprint
Publicado:	2023
Materias:	Statistical Finance
Acceso en línea:	https://arxiv.org/abs/2303.10550
Etiquetas:	Agregar Etiqueta Sin Etiquetas, Sea el primero en etiquetar este registro!

Ejemplares similares

Online Ensemble Learning for Sector Rotation: A Gradient-Free Framework
por: Miao, Jiaju, et al.
Publicado: (2023)

Volatility of Volatility and Leverage Effect from Options
por: Chong, Carsten H., et al.
Publicado: (2023)

Method of Moments Estimation for Affine Stochastic Volatility Models
por: Wu, Yan-Feng, et al.
Publicado: (2024)

Consistent Estimation of the High-Dimensional Efficient Frontier
por: Bodnar, Taras, et al.
Publicado: (2024)

Combined Mutiplicative-Heston Model for Stochastic Volatility
por: Moghaddam, M. Dashti, et al.
Publicado: (2018)

Multiplicative Langevin Process for Volatilities Produces Observed Q-Variance Regularities
por: Press, William H., et al.
Publicado: (2026)

Time-Varying Factor-Augmented Models for Volatility Forecasting
por: Zhang, Duo, et al.
Publicado: (2025)

Estimation of Ornstein-Uhlenbeck Process Using Ultra-High-Frequency Data with Application to Intraday Pairs Trading Strategy
por: Holý, Vladimír, et al.
Publicado: (2018)

Efficient Integrated Volatility Estimation in the Presence of Infinite Variation Jumps via Debiased Truncated Realized Variations
por: Boniece, B. Cooper, et al.
Publicado: (2022)

Implied and Realized Volatility: A Study of Distributions and the Distribution of Difference
por: Moghaddam, M. Dashti, et al.
Publicado: (2019)

A Comparison of Cryptocurrency Volatility-benchmarking New and Mature Asset Classes
por: Brini, Alessio, et al.
Publicado: (2024)

Forecasting Volatility with Machine Learning and Rough Volatility: Example from the Crypto-Winter
por: Tang, Siu Hin, et al.
Publicado: (2023)

Efficient Multi-Change Point Analysis to decode Economic Crisis Information from the S&P500 Mean Market Correlation
por: Heßler, Martin, et al.
Publicado: (2023)

Probabilistic Forecasting Cryptocurrencies Volatility: From Point to Quantile Forecasts
por: Dudek, Grzegorz, et al.
Publicado: (2025)

Asymptotic Separability of Diffusion and Jump Components in High-Frequency CIR and CKLS Models
por: Barick, Sourojyoti
Publicado: (2026)

Bitcoin Forecasting with Classical Time Series Models on Prices and Volatility
por: Kareem, Anmar, et al.
Publicado: (2025)

The Pitfalls of Continuous Heavy-Tailed Distributions in High-Frequency Data Analysis
por: Holý, Vladimír
Publicado: (2025)

A Heterogeneous Spatiotemporal GARCH Model: A Predictive Framework for Volatility in Financial Networks
por: Aouri, Atika, et al.
Publicado: (2025)

Wavelet Analysis of Cryptocurrencies -- Non-Linear Dynamics in High Frequency Domains
por: Kikuchi, Tatsuru
Publicado: (2024)

Multifractality in Bitcoin Realised Volatility: Implications for Rough Volatility Modelling
por: Pontiggia, Milan
Publicado: (2025)

SpotV2Net: Multivariate Intraday Spot Volatility Forecasting via Vol-of-Vol-Informed Graph Attention Networks
por: Brini, Alessio, et al.
Publicado: (2024)

Filling in Missing FX Implied Volatilities with Uncertainties: Improving VAE-Based Volatility Imputation
por: Gopal, Achintya
Publicado: (2024)

When Frictions are Fractional: Rough Noise in High-Frequency Data
por: Chong, Carsten H., et al.
Publicado: (2021)

A Modeling Approach of Return and Volatility of Structured Investment Products with Caps and Floors
por: He, Jiaer, et al.
Publicado: (2023)

Liquidity Premium, Liquidity-Adjusted Return and Volatility, and Extreme Liquidity
por: Deng, Qi, et al.
Publicado: (2023)

The Physics of Price Discovery: Deconvolving Information, Volatility, and the Critical Breakdown of Signal during Retail Herding
por: Kang, Sungwoo
Publicado: (2026)

Stock market forecasting using DRAGAN and feature matching
por: Nejad, Fateme Shahabi, et al.
Publicado: (2023)

Market Makers and Risk Aversion: A Hamiltonian Approach to the Excess Volatility Puzzle
por: Hicks, Will
Publicado: (2026)

From GARCH to Neural Network for Volatility Forecast
por: Zhao, Pengfei, et al.
Publicado: (2024)

Risk-Sensitive Specialist Routing for Volatility Forecasting
por: Zhong, Tenghan
Publicado: (2026)

Dynamic Skewness in Stochastic Volatility Models: A Penalized Prior Approach
por: Holtz, Bruno E., et al.
Publicado: (2025)

Asymptotic Normality of the Conditional Value-at-Risk based Pickands Estimator
por: Li, Yizhou, et al.
Publicado: (2024)

High-Frequency Market Manipulation Detection with a Markov-modulated Hawkes process
por: Fabre, Timothée, et al.
Publicado: (2025)

A Validated Volatility-Volume-Gap Classifier for Regime Identification in MNQ Intraday Data
por: Mesfin, Mathias
Publicado: (2026)

Low Volatility Stock Portfolio Through High Dimensional Bayesian Cointegration
por: Yang, Parley R, et al.
Publicado: (2024)

Correlations versus noise in the NFT market
por: Wątorek, Marcin, et al.
Publicado: (2024)

Adaptive Market Intelligence: A Mixture of Experts Framework for Volatility-Sensitive Stock Forecasting
por: Vallarino, Diego
Publicado: (2025)

Detrended cross-correlations and their random matrix limit: an example from the cryptocurrency market
por: Drożdż, Stanisław, et al.
Publicado: (2025)

Hybrid Vector Auto Regression and Neural Network Model for Order Flow Imbalance Prediction in High Frequency Trading
por: Rahman, Abdul, et al.
Publicado: (2024)

High-Frequency Stock Market Order Transitions during the US-China Trade War 2018: A Discrete-Time Markov Chain Analysis
por: Luwang, Salam Rabindrajit, et al.
Publicado: (2024)