leverage recent advances in market regime (MR) clustering with the Implied Stochastic Volatility Model (ISVM). Time …-regime clustering is a temporal clustering method, that clusters the historic evolution of a market into different volatility periods … implied volatility (IV) data. In this paper, we applied this integrated time-regime clustering and ISVM method (termed MR …

and portfolios. We document that the SDF is dense in characteristics with the impliedrealized volatility spread, option …