Saef, Danial; Wang, Yuanrong; Aste, Tomaso - 2022
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 …