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SSRNDerivatives & Volatility

Time-Varying Volatility Interactions

The paper introduces a new volatility model that accounts for changes in codependence, simplifying the estimation process and offering a new test for constancy codependence volatility, with Monte Carlo experiments supporting its empirical properties.

Featured in No. 16 on 21 Sep 2023 · 5 days after release

Released
16 Sep 2023
First featured
No. 16 · 21 Sep 2023
Published in
Not yet, as far as Semantic Scholar knows
Shares when featured
2
Identifier
SSRN 4573593

Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).

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