Image de couverture de livre

A nonparametric test for rough volatility

Fuente: arXiv

Enregistré dans:

Détails bibliographiques
Auteurs principaux:	Chong, Carsten H., Todorov, Viktor
Format:	Preprint
Publié:	2024
Sujets:	Statistics Theory Econometrics Mathematical Finance Risk Management Statistical Finance
Accès en ligne:	Acceder al recurso
Tags:	Ajouter un tag Pas de tags, Soyez le premier à ajouter un tag!

Documents similaires

Volatility of Volatility and Leverage Effect from Options
par: Chong, Carsten H., et autres
Publié: (2023)

Extrapolating the long-term seasonal component of electricity prices for forecasting in the day-ahead market
par: Chęć, Katarzyna, et autres
Publié: (2025)

Optimal nonparametric estimation of the expected shortfall risk
par: Bartl, Daniel, et autres
Publié: (2024)

Multivariate GARCH and portfolio variance prediction: A forecast reconciliation perspective
par: Caporin, Massimiliano, et autres
Publié: (2026)

Regime Discovery and Intra-Regime Return Dynamics in Global Equity Markets
par: Luwang, Salam Rabindrajit, et autres
Publié: (2026)

Model-free Analysis of Dynamic Trading Strategies
par: Ananova, Anna, et autres
Publié: (2020)

Short-time expansion of characteristic functions in a rough volatility setting with applications
par: Chong, Carsten H., et autres
Publié: (2022)

Sequential Audit Sampling with Statistical Guarantees
par: Kato, Masahiro, et autres
Publié: (2026)

The Elasticity of Quantitative Investment
par: Davis, Carter
Publié: (2023)

Data-Driven Risk Measurement by SV-GARCH-EVT Model
par: Xiao, Minheng
Publié: (2022)

Arbitrage-free catastrophe reinsurance valuation for compound dynamic contagion claims
par: Jang, Jiwook, et autres
Publié: (2025)

Generalized Orlicz premia
par: Aygün, Mücahit, et autres
Publié: (2025)

Sparse spanning portfolios and under-diversification with second-order stochastic dominance
par: Arvanitis, Stelios, et autres
Publié: (2024)

Higher-order Gini indices: An axiomatic approach
par: Han, Xia, et autres
Publié: (2025)

Enhancing a Risk Model by Adding Transient Statistical Factors
par: Tzikas, Alexandros E., et autres
Publié: (2026)

Dynamically Consistent Analysis of Realized Covariations in Term Structure Models
par: Schroers, Dennis
Publié: (2024)

Do News and Social Media Tell the Same Story? Constructing and Comparing Sentiment Spillover Networks
par: Wu, Fan, et autres
Publié: (2026)

Levy-stable scaling of risk and performance functionals
par: Vlasiuk, Dmitrii
Publié: (2025)

Workplace sustainability or financial resilience? Composite-financial resilience index
par: Daadmehr, Elham
Publié: (2024)

Using quantile time series and historical simulation to forecast financial risk multiple steps ahead
par: Gerlach, Richard, et autres
Publié: (2025)

A cost of capital approach to determining the LGD discount rate
par: Larney, Janette, et autres
Publié: (2025)

Analysis of Contagion in China's Stock Market: A Hawkes Process Perspective
par: Yang, Junwei
Publié: (2025)

Holdout cross-validation for large non-Gaussian covariance matrix estimation using Weingarten calculus
par: Lamrani, Lamia, et autres
Publié: (2025)

Multi-period static hedging of European options
par: Banerjee, Purba, et autres
Publié: (2023)

Cross-Domain Behavioral Credit Modeling: transferability from private to central data
par: Didkovskyi, O., et autres
Publié: (2024)

Multiple split approach -- multidimensional probabilistic forecasting of electricity markets
par: Maciejowska, Katarzyna, et autres
Publié: (2024)

Modelling and Predicting the Conditional Variance of Bitcoin Daily Returns: Comparsion of Markov Switching GARCH and SV Models
par: Koch, Dennis, et autres
Publié: (2024)

Regime-Dependent Predictive Structure Between Equity Factors: Evidence from Granger Causality
par: Lee, Chorok
Publié: (2026)

Algorithmic Monitoring: Measuring Market Stress with Machine Learning
par: Schmitt, Marc
Publié: (2026)

Real-time VaR Calculations for Crypto Derivatives in kdb+/q
par: Chen, Yutong, et autres
Publié: (2023)

Random processes for long-term market simulations
par: Zumbach, Gilles
Publié: (2025)

Do Prediction Markets Forecast Cryptocurrency Volatility? Evidence from Kalshi Macro Contracts
par: Mohanty, Hardhik, et autres
Publié: (2026)

Reliability-Aware ETF Tail-Risk Monitoring
par: Zhong, Tenghan, et autres
Publié: (2026)

Measuring Tail Risks
par: Chen, Kan, et autres
Publié: (2022)

Foundation Time-Series AI Model for Realized Volatility Forecasting
par: Goel, Anubha, et autres
Publié: (2025)

Replication of Reference-Dependent Preferences and the Risk-Return Trade-Off in the Chinese Market
par: Xu, Penggan
Publié: (2025)

Risk-Sensitive Specialist Routing for Volatility Forecasting
par: Zhong, Tenghan
Publié: (2026)

Unified GARCH-Recurrent Neural Network in Financial Volatility Forecasting
par: Wei, Jingyi, et autres
Publié: (2025)

Marking-Aware Sequential VaR Recalibration for Standardized Option Books
par: Zhong, Tenghan, et autres
Publié: (2026)

LLM as a Risk Manager: LLM Semantic Filtering for Lead-Lag Trading in Prediction Markets
par: Kim, Sumin, et autres
Publié: (2026)