Neural Tangent Kernel for Nonlinear Implied Volatility Forecasting
The study proposes a Nonlinear Functional Autoregression framework for forecasting implied volatility in financial markets, proving its effectiveness in predicting the S&P 500 Index from 2009 to 2021.
Featured in No. 22 on 18 Oct 2023 · 51 days after release
- Released
- 28 Aug 2023
- First featured
- No. 22 · 18 Oct 2023
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 2
- Identifier
- SSRN 4602820
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