Time-Varying Factor-Augmented Models for Volatility Forecasting

Duo Zhang, Jiayu Li, Junyi Mo, Elynn Chen. Time-Varying Factor-Augmented Models for Volatility Forecasting. In Proceedings of the 6th ACM International Conference on AI in Finance, ICAIF 2025, Singapore, November 15-18, 2025. pages 933-941, ACM, 2025. [doi]

Abstract

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