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20122026
most citedOption pricing with non-Gaussian scaling and infinite-state switching volatility

4 citations · 4 across the 5 of their papers we have counts for

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stat.ME2023

Exploiting Intraday Decompositions in Realized Volatility Forecasting: A Forecast Reconciliation Approach

Massimiliano Caporin, Tommaso Di Fonzo, Daniele Girolimetto

We address the construction of Realized Variance (RV) forecasts by exploiting the hierarchical structure implicit in available decompositions of RV. By using data referred to the D…