A new Bayesian dynamic model integrates realized volatility proxies with price series via dynamic gamma processes and DLMs to enhance financial forecasting.
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4 Pith papers cite this work. Polarity classification is still indexing.
4
Pith papers citing it
years
2026 4verdicts
UNVERDICTED 4representative citing papers
Empirical evidence shows that a drift term (rμτ) added to GBM implementation risk improves the fit of put-call parity carry gaps in SPX and RUT options, pointing to drift-sensitive margin burden.
Carry gap in U.S. equity option put-call parity correlates with low-frequency global asset returns, indicating reduced-form alignment between risk-neutral and physical measures.
Enforcing put-call parity creates an annualized carry gap that is systematic in carry space and linked to a volatility times sqrt(tau) path-risk term using minute-level options data.
citing papers explorer
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Bayesian Dynamic Modeling of Realized Volatility in Financial Asset Price Forecasting
A new Bayesian dynamic model integrates realized volatility proxies with price series via dynamic gamma processes and DLMs to enhance financial forecasting.