Stochastic Volatility in Mean Models with Heavy Tails: A Fast Approximate Bayesian Inference Using Hidden Markov Models

By Bruno E. Holtz, Carlos A. Abanto-Valle, Ricardo S. Ehlers, Gabriel Rodríguez

Published 2026-06-21

Everscope rating

1491.9

Relevance to quantitative trading

8 / 10

Implementation complexity

7 / 10

Reproducibility

5 / 5

About this paper

Methodology: HMM-based Approximate Bayesian Inference for SVM-SMN Models. Problem types: Time Series Forecasting, Risk Management, Density Estimation, Bayesian Inference, Portfolio Risk Assessment.

arXiv:2606.22615 · Code · Paper rankings

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