2 papers
q-fin.MF2025
The Three-Dimensional Decomposition of Volatility Memory
Ziyao Wang, A. Alexandre Trindade, Svetlozar T. Rachev
This paper develops a three-dimensional decomposition of volatility memory into orthogonal components of level, shape, and tempo. The framework unifies regime-switching, fractional…
stat.ME2025
The Effective Number of Parameters in Kernel Density Estimation
Sofia Guglielmini, Igor Volobouev, Alexandre Trindade
The quest for a formula that satisfactorily measures the effective degrees of freedom in kernel density estimation (KDE) is a long standing problem with few solutions. Starting fro…