Quant Letter: January 2024, Week-1
Weekly (28th Edition)
At the end of 2024 we will have 80 quant letters, with around 5,200 new and unique links.
ArXiv
Finance
Forecasting implied volatility with path-dependence: A new forecasting model is suggested that uses past returns and their squares to predict implied volatility surfaces and underlying asset returns for up to two years. (2023-12-26, shares: 8)
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