A Spectral Generalisation of the Variance Ratio: Eigenstructure of Long-Horizon Portfolio Covariance and a Multi-Memory Factor Model of U.S. Equity Returns

By Anders G. Frøseth

Published 2026-07-07

Everscope rating

1619.6

Relevance to quantitative trading

8 / 10

Implementation complexity

8 / 10

Reproducibility

4 / 5

About this paper

Methodology: Spectral Variance Ratio Decomposition with Multi-Memory Factor Model. Problem types: Time Series Forecasting, Portfolio Optimization, Risk Management, Dimensionality Reduction, Density Estimation, Causal Inference.

arXiv:2607.03858 · Paper rankings

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