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SSRNDerivatives & Volatility

Network Linear Covariance Models

The study uses GNAR models to forecast the realized covariance matrix of a subset of S&P 500 stocks, reducing forecasting errors during volatile trading days.

Featured in No. 84 on 5 Feb 2025 · 8 days after release

Released
28 Jan 2025
First featured
No. 84 · 5 Feb 2025
Published in
Not yet, as far as Semantic Scholar knows
Shares when featured
21
Identifier
SSRN 5113698

Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).

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