A Convolutional-Based Heterogeneous Autoregressive Model for Implied Volatility Surface Forecasting

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

Cite this

@article{731ea67094e040b78273fdd6cdae84a4,

title = "A Convolutional-Based Heterogeneous Autoregressive Model for Implied Volatility Surface Forecasting",

author = "Zihao Gong and Wenli Huang and Xinfeng Ruan",

year = "2026",

month = feb,

language = "English",

volume = "33",

pages = "46--73",

journal = "Journal of Derivatives",

issn = "1074-1240",

number = "3",

}