Copertina

Time-Varying Factor-Augmented Models for Volatility Forecasting

Fuente: arXiv

Salvato in:

Dettagli Bibliografici
Autori principali:	Zhang, Duo, Li, Jiayu, Mo, Junyi, Chen, Elynn
Natura:	Preprint
Pubblicazione:	2025
Soggetti:	Statistical Finance Mathematical Finance
Accesso online:	Acceder al recurso
Tags:	Aggiungi Tag Nessun Tag, puoi essere il primo ad aggiungerne!!

Documenti analoghi

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

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

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

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

Diffusion Factor Models: Generating High-Dimensional Returns with Factor Structure
di: Chen, Minshuo, et al.
Pubblicazione: (2025)

Model-Free Deep Hedging with Transaction Costs and Light Data Requirements
di: Brugière, Pierre, et al.
Pubblicazione: (2025)

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

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

Do News and Social Media Tell the Same Story? Constructing and Comparing Sentiment Spillover Networks
di: Wu, Fan, et al.
Pubblicazione: (2026)

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

Market information of the fractional stochastic regularity model
di: Angelini, Daniele, et al.
Pubblicazione: (2024)

Distributions of Historic Market Data -- Relaxation and Correlations
di: Moghaddam, M. Dashti, et al.
Pubblicazione: (2019)

An empirical study of market risk factors for Bitcoin
di: Singh, Shubham
Pubblicazione: (2024)

Machine Learning Methods for Pricing Financial Derivatives
di: Fan, Lei, et al.
Pubblicazione: (2024)

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

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

Signal inference in financial stock return correlations through phase-ordering kinetics in the quenched regime
di: Achitouv, Ixandra, et al.
Pubblicazione: (2024)

Model-free Analysis of Dynamic Trading Strategies
di: Ananova, Anna, et al.
Pubblicazione: (2020)

Trends and Reversion in Financial Markets on Time Scales from Minutes to Decades
di: Safari, Sara A., et al.
Pubblicazione: (2025)

Analytic estimation of parameters of stochastic volatility diffusion models with exponential-affine characteristic function for currency option pricing
di: Łabędzki, Mikołaj
Pubblicazione: (2025)

Enhancing a Risk Model by Adding Transient Statistical Factors
di: Tzikas, Alexandros E., et al.
Pubblicazione: (2026)

Regime Discovery and Intra-Regime Return Dynamics in Global Equity Markets
di: Luwang, Salam Rabindrajit, et al.
Pubblicazione: (2026)

Generative Path-Law Jump-Diffusion: Sequential MMD-Gradient Flows and Generalisation Bounds in Marcus-Signature RKHS
di: Bloch, Daniel
Pubblicazione: (2026)

Dynamic graph neural networks for enhanced volatility prediction in financial markets
di: Kumar, Pulikandala Nithish, et al.
Pubblicazione: (2024)

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

Basket Options with Volatility Skew: Calibrating a Local Volatility Model by Sample Rearrangement
di: Zaugg, Nicola F., et al.
Pubblicazione: (2024)

Foundation Time-Series AI Model for Realized Volatility Forecasting
di: Goel, Anubha, et al.
Pubblicazione: (2025)

Generalized Beta Prime Distribution: Stochastic Model of Economic Exchange and Properties of Inequality Indices
di: Moghaddam, M. Dashti, et al.
Pubblicazione: (2019)

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

On Time-subordinated Brownian Motion Processes for Financial Markets
di: Shenoy, Rohan, et al.
Pubblicazione: (2025)

Exploratory Mean-Variance Portfolio Optimization with Regime-Switching Market Dynamics
di: Chen, Yuling Max, et al.
Pubblicazione: (2025)

Block-diagonal idiosyncratic covariance estimation in high-dimensional factor models for financial time series
di: Žignić, Lucija, et al.
Pubblicazione: (2024)

A nonparametric test for rough volatility
di: Chong, Carsten H., et al.
Pubblicazione: (2024)

Dynamic Asset Pricing Theory for Life Contingent Risks
di: Ling, Patrick
Pubblicazione: (2025)

The Negative Drift of a Limit Order Fill
di: DeLise, Timothy
Pubblicazione: (2024)

Forecasting Intraday Volume in Equity Markets with Machine Learning
di: Cucuringu, Mihai, et al.
Pubblicazione: (2025)

An Empirical Analysis on Financial Markets: Insights from the Application of Statistical Physics
di: Li, Haochen, et al.
Pubblicazione: (2023)

From Volatility to Variance: A Skew-Enhanced SABR Model and Its Empirical Study in the Chinese Financial Options Market
di: Zhang, Wenxuan, et al.
Pubblicazione: (2026)

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

Critical Dynamics of Random Surfaces and Multifractal Scaling
di: Schmidhuber, Christof
Pubblicazione: (2025)