Capital Asset Pricing Model with Size Factor and Normalizing by Volatility Index
Fuente:
arXiv
Guardado en:
| Autores principales: | Atsiwo, Abraham, Sarantsev, Andrey |
|---|---|
| Formato: | Preprint |
| Publicado: |
2024
|
| Materias: | |
| Acceso en línea: | |
| Etiquetas: |
Agregar Etiqueta
Sin Etiquetas, Sea el primero en etiquetar este registro!
|
Ejemplares similares
Log Heston Model for Monthly Average VIX
por: Park, Jihyun, et al.
Publicado: (2024)
por: Park, Jihyun, et al.
Publicado: (2024)
A New Stock Market Valuation Measure with Applications to Retirement Planning
por: Sarantsev, Andrey
Publicado: (2019)
por: Sarantsev, Andrey
Publicado: (2019)
Calibrated rank volatility stabilized models for large equity markets
por: Itkin, David, et al.
Publicado: (2024)
por: Itkin, David, et al.
Publicado: (2024)
Zero-Coupon Treasury Rates and Returns using the Volatility Index
por: Park, Jihyun, et al.
Publicado: (2024)
por: Park, Jihyun, et al.
Publicado: (2024)
On the rate of convergence of estimating the Hurst parameter of rough stochastic volatility models
por: Han, Xiyue, et al.
Publicado: (2025)
por: Han, Xiyue, et al.
Publicado: (2025)
The VIX as Stochastic Volatility for Corporate Bonds
por: Park, Jihyun, et al.
Publicado: (2024)
por: Park, Jihyun, et al.
Publicado: (2024)
Modeling Stock Returns and Volatility Using Bivariate Gamma Generalized Laplace Law
por: Kozubowski, Tomasz J., et al.
Publicado: (2026)
por: Kozubowski, Tomasz J., et al.
Publicado: (2026)
Probability Weighting Meets Heavy Tails: An Econometric Framework for Behavioral Asset Pricing
por: Deep, Akash, et al.
Publicado: (2025)
por: Deep, Akash, et al.
Publicado: (2025)
Pricing under the Benchmark Approach
por: Platen, Eckhard
Publicado: (2025)
por: Platen, Eckhard
Publicado: (2025)
A unified theory of order flow, market impact, and volatility
por: Muhle-Karbe, Johannes, et al.
Publicado: (2026)
por: Muhle-Karbe, Johannes, et al.
Publicado: (2026)
Estimating the roughness exponent of stochastic volatility from discrete observations of the integrated variance
por: Han, Xiyue, et al.
Publicado: (2023)
por: Han, Xiyue, et al.
Publicado: (2023)
Modeling and Forecasting Realized Volatility with Multivariate Fractional Brownian Motion
por: Bibinger, Markus, et al.
Publicado: (2025)
por: Bibinger, Markus, et al.
Publicado: (2025)
Functional CLTs for subordinated Lévy models in physics, finance, and econometrics
por: Søjmark, Andreas, et al.
Publicado: (2023)
por: Søjmark, Andreas, et al.
Publicado: (2023)
Asymmetric super-Heston-rough volatility model with Zumbach effect as scaling limit of quadratic Hawkes processes
por: Chudasama, Priyanka, et al.
Publicado: (2025)
por: Chudasama, Priyanka, et al.
Publicado: (2025)
Free Lunches with Vanishing Risks Most Likely Exist
por: Platen, Eckhard, et al.
Publicado: (2025)
por: Platen, Eckhard, et al.
Publicado: (2025)
Information-minimizing stationary financial market dynamics
por: Platen, Eckhard
Publicado: (2025)
por: Platen, Eckhard
Publicado: (2025)
Comparative Evaluation of VaR Models: Historical Simulation, GARCH-Based Monte Carlo, and Filtered Historical Simulation
por: Tian, Xin
Publicado: (2025)
por: Tian, Xin
Publicado: (2025)
A theory of passive market impact
por: Chahdi, Youssef Ouazzani, et al.
Publicado: (2024)
por: Chahdi, Youssef Ouazzani, et al.
Publicado: (2024)
A pure dual approach for hedging Bermudan options
por: Alfonsi, Aurélien, et al.
Publicado: (2024)
por: Alfonsi, Aurélien, et al.
Publicado: (2024)
Climate-Aware Copula Models for Sovereign Rating Migration Risk
por: Palaisti, Marina
Publicado: (2026)
por: Palaisti, Marina
Publicado: (2026)
Comparison results for positive supermodular dependent Markov tree distributions
por: Ansari, Jonathan, et al.
Publicado: (2024)
por: Ansari, Jonathan, et al.
Publicado: (2024)
Statistical inference for rough volatility: Central limit theorems
por: Chong, Carsten, et al.
Publicado: (2022)
por: Chong, Carsten, et al.
Publicado: (2022)
American Options Pricing under Heston Model via Curriculum Learning in Coupled PINNs
por: Rohan, et al.
Publicado: (2026)
por: Rohan, et al.
Publicado: (2026)
Same Returns, Different Risks: How Cryptocurrency Markets Process Infrastructure vs Regulatory Shocks
por: Farzulla, Murad
Publicado: (2026)
por: Farzulla, Murad
Publicado: (2026)
Curved Greeks: A Geometric Layer for Option P&L Adjustments
por: Velasco, Pedro Pablo Pérez, et al.
Publicado: (2026)
por: Velasco, Pedro Pablo Pérez, et al.
Publicado: (2026)
Understanding the Commodity Futures Term Structure Through Signatures
por: Krishnan, Hari P., et al.
Publicado: (2025)
por: Krishnan, Hari P., et al.
Publicado: (2025)
Valuation Measure of the Stock Market using Stochastic Volatility and Stock Earnings
por: Sarantsev, Andrey, et al.
Publicado: (2025)
por: Sarantsev, Andrey, et al.
Publicado: (2025)
From constant to rough: A survey of continuous volatility modeling
por: Di Nunno, Giulia, et al.
Publicado: (2023)
por: Di Nunno, Giulia, et al.
Publicado: (2023)
Temporal Coverage Bias in Financial Panel Data: A Coverage-Aware Structuring Framework with Evidence from the Dhaka Stock Exchange
por: Muhammad, Tashreef
Publicado: (2026)
por: Muhammad, Tashreef
Publicado: (2026)
Information-Theoretic Approach to Financial Market Modelling
por: Platen, Eckhard
Publicado: (2026)
por: Platen, Eckhard
Publicado: (2026)
Asymptotic Expansions for High-Frequency Option Data
por: Chong, Carsten H., et al.
Publicado: (2023)
por: Chong, Carsten H., et al.
Publicado: (2023)
Multilayer Perceptron Neural Network Models in Asset Pricing: An Empirical Study on Large-Cap US Stocks
por: Lai, Shanyan
Publicado: (2025)
por: Lai, Shanyan
Publicado: (2025)
On the use of case estimate and transactional payment data in neural networks for individual loss reserving
por: Avanzi, Benjamin, et al.
Publicado: (2025)
por: Avanzi, Benjamin, et al.
Publicado: (2025)
On variable annuities with surrender charges
por: De Angelis, Tiziano, et al.
Publicado: (2024)
por: De Angelis, Tiziano, et al.
Publicado: (2024)
Elicitability and identifiability of tail risk measures
por: Fissler, Tobias, et al.
Publicado: (2024)
por: Fissler, Tobias, et al.
Publicado: (2024)
Sharp Large Deviations and Gibbs Conditioning for Threshold Models in Portfolio Credit Risk
por: Deng, Fengnan, et al.
Publicado: (2025)
por: Deng, Fengnan, et al.
Publicado: (2025)
Insights into Tail-Based and Order Statistics
por: Almani, Hamidreza Maleki
Publicado: (2025)
por: Almani, Hamidreza Maleki
Publicado: (2025)
A new measure of risk using Fourier analysis
por: Grabinski, Michael, et al.
Publicado: (2024)
por: Grabinski, Michael, et al.
Publicado: (2024)
A note on closed-form spread option valuation under log-normal models
por: Abudurexiti, Nuerxiati, et al.
Publicado: (2021)
por: Abudurexiti, Nuerxiati, et al.
Publicado: (2021)
How can the dual martingale help solving the primal optimal stopping problem?
por: Alfonsi, Aurélien, et al.
Publicado: (2026)
por: Alfonsi, Aurélien, et al.
Publicado: (2026)
Ejemplares similares
-
Log Heston Model for Monthly Average VIX
por: Park, Jihyun, et al.
Publicado: (2024) -
A New Stock Market Valuation Measure with Applications to Retirement Planning
por: Sarantsev, Andrey
Publicado: (2019) -
Calibrated rank volatility stabilized models for large equity markets
por: Itkin, David, et al.
Publicado: (2024) -
Zero-Coupon Treasury Rates and Returns using the Volatility Index
por: Park, Jihyun, et al.
Publicado: (2024) -
On the rate of convergence of estimating the Hurst parameter of rough stochastic volatility models
por: Han, Xiyue, et al.
Publicado: (2025)