Saved in:
| Main Authors: | Wang, Zian, Li, Xinshu |
|---|---|
| Format: | Preprint |
| Published: |
2024
|
| Subjects: | |
| Online Access: | https://arxiv.org/abs/2409.08355 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
Similar Items
COMEX Copper Futures Volatility Forecasting: Econometric Models and Deep Learning
by: Wang, Zian, et al.
Published: (2024)
by: Wang, Zian, et al.
Published: (2024)
Rough volatility: evidence from range volatility estimators
by: Mouti, Saad
Published: (2023)
by: Mouti, Saad
Published: (2023)
A nonparametric test for rough volatility
by: Chong, Carsten H., et al.
Published: (2024)
by: Chong, Carsten H., et al.
Published: (2024)
Kullback-Leibler cluster entropy to quantify volatility correlation and risk diversity
by: Ponta, L., et al.
Published: (2024)
by: Ponta, L., et al.
Published: (2024)
Statistical inference for rough volatility: Minimax Theory
by: Chong, Carsten, et al.
Published: (2022)
by: Chong, Carsten, et al.
Published: (2022)
High-frequency lead-lag relationships in the Chinese stock index futures market: tick-by-tick dynamics of calendar spreads
by: Li, Guanlin, et al.
Published: (2025)
by: Li, Guanlin, et al.
Published: (2025)
Random processes for long-term market simulations
by: Zumbach, Gilles
Published: (2025)
by: Zumbach, Gilles
Published: (2025)
A GMM approach to estimate the roughness of stochastic volatility
by: Bolko, Anine E., et al.
Published: (2020)
by: Bolko, Anine E., et al.
Published: (2020)
From fair price to fair volatility: Towards an Efficiency-Consistent Definition of Financial Risk
by: Bianchi, Sergio, et al.
Published: (2025)
by: Bianchi, Sergio, et al.
Published: (2025)
Quantifying neural network uncertainty under volatility clustering
by: Wong, Steven Y. K., et al.
Published: (2024)
by: Wong, Steven Y. K., et al.
Published: (2024)
Multifractality and sample size influence on Bitcoin volatility patterns
by: Takaishi, Tetsuya
Published: (2025)
by: Takaishi, Tetsuya
Published: (2025)
What events matter for exchange rate volatility ?
by: Martins, Igor, et al.
Published: (2024)
by: Martins, Igor, et al.
Published: (2024)
Dynamic graph neural networks for enhanced volatility prediction in financial markets
by: Kumar, Pulikandala Nithish, et al.
Published: (2024)
by: Kumar, Pulikandala Nithish, et al.
Published: (2024)
Filtering amplitude dependence of correlation dynamics in complex systems: application to the cryptocurrency market
by: Wątorek, Marcin, et al.
Published: (2025)
by: Wątorek, Marcin, et al.
Published: (2025)
Why is the volatility of single stocks so much rougher than that of the S&P500?
by: Zarhali, Othmane, et al.
Published: (2025)
by: Zarhali, Othmane, et al.
Published: (2025)
Signal inference in financial stock return correlations through phase-ordering kinetics in the quenched regime
by: Achitouv, Ixandra, et al.
Published: (2024)
by: Achitouv, Ixandra, et al.
Published: (2024)
From rough to multifractal multidimensional volatility: A multidimensional Log S-fBM model
by: Zarhali, Othmane, et al.
Published: (2026)
by: Zarhali, Othmane, et al.
Published: (2026)
Characterizing asymmetric and bimodal long-term financial return distributions through quantum walks
by: De Backer, Stijn, et al.
Published: (2025)
by: De Backer, Stijn, et al.
Published: (2025)
Analytic estimation of parameters of stochastic volatility diffusion models with exponential-affine characteristic function for currency option pricing
by: Łabędzki, Mikołaj
Published: (2025)
by: Łabędzki, Mikołaj
Published: (2025)
Short-time expansion of characteristic functions in a rough volatility setting with applications
by: Chong, Carsten H., et al.
Published: (2022)
by: Chong, Carsten H., et al.
Published: (2022)
Trade uncertainty impact on stock-bond correlations: Insights from conditional correlation models
by: Lacava, Demetrio, et al.
Published: (2026)
by: Lacava, Demetrio, et al.
Published: (2026)
Extrapolating the long-term seasonal component of electricity prices for forecasting in the day-ahead market
by: Chęć, Katarzyna, et al.
Published: (2025)
by: Chęć, Katarzyna, et al.
Published: (2025)
Visibility graph analysis of crude oil futures markets: Insights from the COVID-19 pandemic and Russia-Ukraine conflict
by: Yang, Yan-Hong, et al.
Published: (2023)
by: Yang, Yan-Hong, et al.
Published: (2023)
Application of Hawkes volatility in the observation of filtered high-frequency price process in tick structures
by: Lee, Kyungsub
Published: (2022)
by: Lee, Kyungsub
Published: (2022)
Deformation of Marchenko-Pastur distribution for the correlated time series
by: Hisakado, Masato, et al.
Published: (2023)
by: Hisakado, Masato, et al.
Published: (2023)
First-passage horizons in horizontal visibility graphs: a rank-invariant estimator of path roughness for rough volatility models
by: Sikorski, Michał
Published: (2025)
by: Sikorski, Michał
Published: (2025)
Statistical modeling of SOFR term structure
by: Pennanen, Teemu, et al.
Published: (2025)
by: Pennanen, Teemu, et al.
Published: (2025)
Impact of the COVID-19 pandemic on the financial market efficiency of price returns, absolute returns, and volatility increment: Evidence from stock and cryptocurrency markets
by: Takaishi, Tetsuya
Published: (2025)
by: Takaishi, Tetsuya
Published: (2025)
Deformation of semi-circle law for the correlated time series and Phase transition
by: Hisakado, Masato, et al.
Published: (2025)
by: Hisakado, Masato, et al.
Published: (2025)
Calibrated rank volatility stabilized models for large equity markets
by: Itkin, David, et al.
Published: (2024)
by: Itkin, David, et al.
Published: (2024)
An adaptive volatility method for probabilistic forecasting and its application to the M6 financial forecasting competition
by: de Vilmarest, Joseph, et al.
Published: (2023)
by: de Vilmarest, Joseph, et al.
Published: (2023)
Detrended cross-correlations and their random matrix limit: an example from the cryptocurrency market
by: Drożdż, Stanisław, et al.
Published: (2025)
by: Drożdż, Stanisław, et al.
Published: (2025)
Dissecting Multifractal detrended cross-correlation analysis
by: Stosic, Borko, et al.
Published: (2024)
by: Stosic, Borko, et al.
Published: (2024)
Joint multifractality in the cross-correlations between grains \& oilseeds indices and external uncertainties
by: Shao, Ying-Hui, et al.
Published: (2024)
by: Shao, Ying-Hui, et al.
Published: (2024)
Arbitrage impact on the relationship between XRP price and correlation tensor spectra of transaction networks
by: Chakraborty, Abhijit, et al.
Published: (2024)
by: Chakraborty, Abhijit, et al.
Published: (2024)
Identification of phase correlations in Financial Stock Market Turbulence
by: Sharma, Kiran, et al.
Published: (2025)
by: Sharma, Kiran, et al.
Published: (2025)
The impact of the Russia-Ukraine conflict on the extreme risk spillovers between agricultural futures and spots
by: Zhou, Wei-Xing, et al.
Published: (2023)
by: Zhou, Wei-Xing, et al.
Published: (2023)
On the rate of convergence of estimating the Hurst parameter of rough stochastic volatility models
by: Han, Xiyue, et al.
Published: (2025)
by: Han, Xiyue, et al.
Published: (2025)
From sectorial coarse graining to extreme coarse graining of S&P 500 correlation matrices
by: Vyas, Manan, et al.
Published: (2025)
by: Vyas, Manan, et al.
Published: (2025)
Quantum generative modeling for financial time series with temporal correlations
by: Dechant, David, et al.
Published: (2025)
by: Dechant, David, et al.
Published: (2025)
Similar Items
-
COMEX Copper Futures Volatility Forecasting: Econometric Models and Deep Learning
by: Wang, Zian, et al.
Published: (2024) -
Rough volatility: evidence from range volatility estimators
by: Mouti, Saad
Published: (2023) -
A nonparametric test for rough volatility
by: Chong, Carsten H., et al.
Published: (2024) -
Kullback-Leibler cluster entropy to quantify volatility correlation and risk diversity
by: Ponta, L., et al.
Published: (2024) -
Statistical inference for rough volatility: Minimax Theory
by: Chong, Carsten, et al.
Published: (2022)