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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 …
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In this paper, we propose a novel approach on how to estimate systemic risk and identify its key determinants. For all US financial companies with publicly traded equity options, we extract their option-implied value-at-risks (VaRs) and measure the spillover effects between individual company...
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