A high-frequency approach to Realized Risk Measures

By Federico Gatta, Fabrizio Lillo, Piero Mazzarisi

Published 2025-10-18

Everscope rating

1508.9

Relevance to quantitative trading

8 / 10

Implementation complexity

6 / 10

Reproducibility

3 / 5

About this paper

Methodology: Realized Risk Measures (RRM). Problem types: Risk Management, Time Series Forecasting, Density Estimation, Portfolio Optimization.

arXiv:2510.16526 · Code · Paper rankings

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