Diffusion on the circle and a stochastic correlation model
Fuente:
arXiv
Saved in:
| Main Authors: | Majumdar, Sourav, Laha, Arnab Kumar |
|---|---|
| Format: | Preprint |
| Published: |
2024
|
| Subjects: | |
| Online Access: | |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
Similar Items
Market information of the fractional stochastic regularity model
by: Angelini, Daniele, et al.
Published: (2024)
by: Angelini, Daniele, et al.
Published: (2024)
Consistent Estimation of the High-Dimensional Efficient Frontier
by: Bodnar, Taras, et al.
Published: (2024)
by: Bodnar, Taras, et al.
Published: (2024)
Volatility of Volatility and Leverage Effect from Options
by: Chong, Carsten H., et al.
Published: (2023)
by: Chong, Carsten H., et al.
Published: (2023)
Generalized FGM dependence: Geometrical representation and convex bounds on sums
by: Cossette, Hélène, et al.
Published: (2024)
by: Cossette, Hélène, et al.
Published: (2024)
Symmetric Bernoulli distributions and minimal dependence copulas
by: Mutti, Alessandro, et al.
Published: (2023)
by: Mutti, Alessandro, et al.
Published: (2023)
On Time-subordinated Brownian Motion Processes for Financial Markets
by: Shenoy, Rohan, et al.
Published: (2025)
by: Shenoy, Rohan, 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)
A nonparametric test for rough volatility
by: Chong, Carsten H., et al.
Published: (2024)
by: Chong, Carsten H., et al.
Published: (2024)
Central limit theorem for a partially observed interacting system of Hawkes processes I: subcritical case
by: Liu, Chenguang, et al.
Published: (2026)
by: Liu, Chenguang, et al.
Published: (2026)
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)
Critical Dynamics of Random Surfaces and Multifractal Scaling
by: Schmidhuber, Christof
Published: (2025)
by: Schmidhuber, Christof
Published: (2025)
Gordon Growth Model with Vector Autoregressive Process
by: Gankhuu, Battulga
Published: (2024)
by: Gankhuu, Battulga
Published: (2024)
Almost sure null bankruptcy of testing-by-betting strategies
by: Wang, Hongjian, et al.
Published: (2026)
by: Wang, Hongjian, et al.
Published: (2026)
Higher-order Gini indices: An axiomatic approach
by: Han, Xia, et al.
Published: (2025)
by: Han, Xia, et al.
Published: (2025)
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)
Information geometry of Lévy processes and financial models
by: Choi, Jaehyung
Published: (2025)
by: Choi, Jaehyung
Published: (2025)
Testing by Betting while Borrowing and Bargaining
by: Wang, Hongjian, et al.
Published: (2024)
by: Wang, Hongjian, et al.
Published: (2024)
Multi-period static hedging of European options
by: Banerjee, Purba, et al.
Published: (2023)
by: Banerjee, Purba, et al.
Published: (2023)
Asian option valuation under price impact
by: Tiwari, Priyanshu, et al.
Published: (2025)
by: Tiwari, Priyanshu, et al.
Published: (2025)
Diffusion Factor Models: Generating High-Dimensional Returns with Factor Structure
by: Chen, Minshuo, et al.
Published: (2025)
by: Chen, Minshuo, et al.
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)
Generative Path-Law Jump-Diffusion: Sequential MMD-Gradient Flows and Generalisation Bounds in Marcus-Signature RKHS
by: Bloch, Daniel
Published: (2026)
by: Bloch, Daniel
Published: (2026)
Model-Free Deep Hedging with Transaction Costs and Light Data Requirements
by: Brugière, Pierre, et al.
Published: (2025)
by: Brugière, Pierre, et al.
Published: (2025)
Implied and Realized Volatility: A Study of Distributions and the Distribution of Difference
by: Moghaddam, M. Dashti, et al.
Published: (2019)
by: Moghaddam, M. Dashti, et al.
Published: (2019)
Time-Varying Factor-Augmented Models for Volatility Forecasting
by: Zhang, Duo, et al.
Published: (2025)
by: Zhang, Duo, et al.
Published: (2025)
Distributions of Historic Market Data -- Relaxation and Correlations
by: Moghaddam, M. Dashti, et al.
Published: (2019)
by: Moghaddam, M. Dashti, et al.
Published: (2019)
Combined Mutiplicative-Heston Model for Stochastic Volatility
by: Moghaddam, M. Dashti, et al.
Published: (2018)
by: Moghaddam, M. Dashti, et al.
Published: (2018)
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)
Bounding the approach to oligarchy in a variant of the yard-sale model
by: Cohen, David W., et al.
Published: (2023)
by: Cohen, David W., et al.
Published: (2023)
Optimal nonparametric estimation of the expected shortfall risk
by: Bartl, Daniel, et al.
Published: (2024)
by: Bartl, Daniel, et al.
Published: (2024)
Arbitrage-free catastrophe reinsurance valuation for compound dynamic contagion claims
by: Jang, Jiwook, et al.
Published: (2025)
by: Jang, Jiwook, et al.
Published: (2025)
Generalized Orlicz premia
by: Aygün, Mücahit, et al.
Published: (2025)
by: Aygün, Mücahit, et al.
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)
An empirical study of market risk factors for Bitcoin
by: Singh, Shubham
Published: (2024)
by: Singh, Shubham
Published: (2024)
Machine Learning Methods for Pricing Financial Derivatives
by: Fan, Lei, et al.
Published: (2024)
by: Fan, Lei, et al.
Published: (2024)
Dynamically Consistent Analysis of Realized Covariations in Term Structure Models
by: Schroers, Dennis
Published: (2024)
by: Schroers, Dennis
Published: (2024)
Do News and Social Media Tell the Same Story? Constructing and Comparing Sentiment Spillover Networks
by: Wu, Fan, et al.
Published: (2026)
by: Wu, Fan, et al.
Published: (2026)
Sparse spanning portfolios and under-diversification with second-order stochastic dominance
by: Arvanitis, Stelios, et al.
Published: (2024)
by: Arvanitis, Stelios, et al.
Published: (2024)
Block-diagonal idiosyncratic covariance estimation in high-dimensional factor models for financial time series
by: Žignić, Lucija, et al.
Published: (2024)
by: Žignić, Lucija, et al.
Published: (2024)
Asymptotic Separability of Diffusion and Jump Components in High-Frequency CIR and CKLS Models
by: Barick, Sourojyoti
Published: (2026)
by: Barick, Sourojyoti
Published: (2026)
Similar Items
-
Market information of the fractional stochastic regularity model
by: Angelini, Daniele, et al.
Published: (2024) -
Consistent Estimation of the High-Dimensional Efficient Frontier
by: Bodnar, Taras, et al.
Published: (2024) -
Volatility of Volatility and Leverage Effect from Options
by: Chong, Carsten H., et al.
Published: (2023) -
Generalized FGM dependence: Geometrical representation and convex bounds on sums
by: Cossette, Hélène, et al.
Published: (2024) -
Symmetric Bernoulli distributions and minimal dependence copulas
by: Mutti, Alessandro, et al.
Published: (2023)