"Tail Risk Measure of Implied Volatility Based on Bayesian Conditional ..."

Jinling Tian, Yu Fu (2024)

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DOI: 10.1145/3718751.3718920

access: closed

type: Conference or Workshop Paper

metadata version: 2025-09-22

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Jinling Tian, Yu Fu:
Tail Risk Measure of Implied Volatility Based on Bayesian Conditional Autoregressive Expectile Model. ICBAR 2024: 1025-1031

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