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Combining long memory and level shifts in modelling and forecasting the volatility of asset returns
Varneskov, Rasmus Tangsgaard; Perron, Pierre - In: Quantitative finance 18 (2018) 3, pp. 371-393
Persistent link: https://www.econbiz.de/10011906384
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Volatility is rough
Gatheral, Jim; Jaisson, Thibault; Rosenbaum, Mathieu - In: Quantitative finance 18 (2018) 6, pp. 933-949
Persistent link: https://www.econbiz.de/10011910932
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Portfolio performance of linear SDF models : an out-of-sample assessment
Guidolin, Massimo; Hansen, Erwin; Lozano-Banda, Martín - In: Quantitative finance 18 (2018) 8, pp. 1425-1436
Persistent link: https://www.econbiz.de/10011911550
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Deep learning volatility : a deep neural network perspective on pricing and calibration in (rough) volatility models
Horvath, Blanka Nora; Muguruza, Aitor; Tomas, Mehdi - In: Quantitative finance 21 (2021) 1, pp. 11-27
Persistent link: https://www.econbiz.de/10012424629
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Forecasting with fractional Brownian motion : a financial perspective
Garcin, Matthieu - In: Quantitative finance 22 (2022) 8, pp. 1495-1512
Persistent link: https://www.econbiz.de/10013367924
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Improving the asymmetric stochastic volatility model with ex-post volatility : the identification of the asymmetry
Zhang, Zehua; Zhao, Ran - In: Quantitative finance 23 (2023) 1, pp. 35-51
Persistent link: https://www.econbiz.de/10013490951
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On the optimal forecast with the fractional Brownian motion
Wang, Xiaohu; Yu, Jun; Zhang, Chen - In: Quantitative finance 24 (2024) 2, pp. 337-346
Persistent link: https://www.econbiz.de/10014552006