Nonlinear Forecasting of Volatility
A new framework for forecasting implied volatility in European put and call options is introduced, using the functional Neural Tangent Kernel estimator to handle the nonlinear and asymmetric dependencies inherent to implied volatility.
Featured in No. 13 on 24 Aug 2023 · 3 days after release
- Released
- 21 Aug 2023
- First featured
- No. 13 · 24 Aug 2023
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 2
- Identifier
- SSRN 4547560
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