Stochastic Volatility in Mean: Efficient Analysis by a Generalized Mixture Sampler

By Daichi Hiraki, Siddhartha Chib, Yasuhiro Omori

Published 2024-04-22

Everscope rating

1703.1

Relevance to quantitative trading

9 / 10

Implementation complexity

7 / 10

Reproducibility

4 / 5

About this paper

Methodology: Generalized Mixture Sampler. Problem types: Time Series Forecasting, Volatility Modeling, Risk Premium Estimation.

arXiv:2404.13986 · Paper rankings

Open the interactive Everscope explorer for full analysis, charts, and paper battles.