For regular Volterra kernels the square-root process avoids zero under a time-dependent Feller condition while rough regularly-varying kernels force an atom at zero, with the limit law still having finite negative exponential moments; equivalent martingale measures in the Volterra Heston model exist
Volatility is (mostly) path-dependent.Quant
3 Pith papers cite this work. Polarity classification is still indexing.
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Benchmark of 15 time-series architectures on equity portfolios finds no model dominates, with TransEnc-8 at 0.352 rank-1 acceptability and all promoted models showing negative net Sharpe at 20 bps costs under constraints.
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Boundary behaviour of the Volterra square-root process
For regular Volterra kernels the square-root process avoids zero under a time-dependent Feller condition while rough regularly-varying kernels force an atom at zero, with the limit law still having finite negative exponential moments; equivalent martingale measures in the Volterra Heston model exist
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Benchmarking Deep Time Series Models for Equity Portfolios
Benchmark of 15 time-series architectures on equity portfolios finds no model dominates, with TransEnc-8 at 0.352 rank-1 acceptability and all promoted models showing negative net Sharpe at 20 bps costs under constraints.
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