Corpus ID: 211258976

Modelling volatility with v-transforms

  title={Modelling volatility with v-transforms},
  author={Alexander J. McNeil},
  journal={arXiv: Risk Management},
  • A. McNeil
  • Published 24 February 2020
  • Mathematics, Economics
  • arXiv: Risk Management
An approach to the modelling of financial return series using a class of uniformity-preserving transforms for uniform random variables is proposed. V-transforms describe the relationship between quantiles of the return distribution and quantiles of the distribution of a predictable volatility proxy variable constructed as a function of the return. V-transforms can be represented as copulas and permit the construction and estimation of models that combine arbitrary marginal distributions with… Expand

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