---
title: Implied Covariance Term Structure
url: https://www.ml-quant.com/papers/ssrn/4852018/
site: ML-Quant (https://www.ml-quant.com)
updated: 2026-09-26
license: Summaries CC BY 4.0; links go to the original sources
index: https://www.ml-quant.com/llms.txt
identifier: SSRN 4852018
source_url: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4852018
featured: 2024-06-05
citations: unknown
topic: Macro-Finance & Rates
---


# Implied Covariance Term Structure

The note explains Rolloos' approximation for the covariance between an asset and its realised volatility, a tool that can help monitor the term structure of implied asset-realised volatility covariance and guide trading decisions.

- Source: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4852018
- Identifier: SSRN 4852018
- Released: 2024-06-03
- First featured: Quant Letter No. 52 (2024-06-05): https://www.ml-quant.com/issues/2024-06-05/
- Citations (Semantic Scholar): not tracked
- Published in: not yet
- Topic: Macro-Finance & Rates

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