A novel HAR-type realized volatility forecasting model using graph neural network
Nan Hu, Xuebao Yin, Yuhang Yao
| Year of publication: |
2025
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|---|---|
| Authors: | Hu, Nan ; Yin, Xuebao ; Yao, Yuhang |
| Published in: |
International review of financial analysis. - Amsterdam [u.a.] : Elsevier Science, ISSN 1057-5219, ZDB-ID 2029229-6. - Vol. 98.2025, Art.-No. 103881, p. 1-16
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| Subject: | Volatility forecasting | Machine learning | Deep learning | Graph neural network | Heterogeneous autoregression | Volatilität | Volatility | Neuronale Netze | Neural networks | Künstliche Intelligenz | Artificial intelligence | Prognoseverfahren | Forecasting model | Graphentheorie | Graph theory | Lernprozess | Learning process |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.irfa.2024.103881 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015604080