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risk evaluation, RM2006, heteroskedasticity, fat-tail, long-memory ARCH process
volatility estimators, high-frequency data, incoherent price formation, daily volatility
Volatility estimator, high frequency realized volatility, incoherent prices formation, return autocorrelation, volatility bias
long memory volatility processes, ARCH model, volatility forecast
Volatility forecasting, Genetic Programming, Syntactic restrictions
bond yield, default spread, risk/return scaling, mean-variance portfolio allocation
Time reversal symmetry, ARCH processes, stochastic volatility processes
Econophysics, volatility cascade, market components, ARCH model, turbulence
Econophysics, Volatility cascade, Market components, ARCH model, Turbulence
Covariance matrix, spectrum, spectral density
Option pricing, ARCH process, implied volatility, Student innovations, long memory volatility, hedging cost and risk
Option pricing, implied volatility, ARCH process, Student innovations, long memory volatility, SP500 European options
Heteroskedasticity, leverage, fat-tail innovation, ARCH, long-memory, stock time series, L-statistics
implied volatility, ARCH processes, market model, forward variance
heteroskedasticity, volatility lagged correlation
Realistic option pricing, cross-product, implied volatility, replication risk, hedging, SP500 European options, ARCH processes
Fat tail distribution, geometric processes, relative returns, Option pricing, ARCH processes
Multivariate GARCH processes, covariance matrix, white noise residuals
ARCH processes, stylized facts, universality, time series statistics, cross-sectional statistics, Kolmogorov-Smirnov test, long memory volatility, leverage effect
Markowitz portfolio allocation, covariance regularisation, tactical allocation
Value-at-Risk, distribution forecast, risk evaluation, back test, probability integral transform, PIT, tile test
