most citedUsing Machine Learning to Predict Realized Variance

12 citations · 12 across the 1 of their papers we have counts for

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1 paper

q-fin.MF2019★ 12 cited

Using Machine Learning to Predict Realized Variance

Peter Carr, Liuren Wu, Zhibai Zhang

In this paper we formulate a regression problem to predict realized volatility by using option price data and enhance VIX-styled volatility indices' predictability and liquidity. W…