Forecasting realized volatility with spillover effects : perspectives from graph neural networks
Chao Zhang, Xingyue Pu, Mihai Cucuringu, Xiaowen Dong
| Year of publication: |
2025
|
|---|---|
| Authors: | Zhang, Chao ; Pu, Xingyue ; Cucuringu, Mihai ; Dong, Xiaowen |
| Published in: |
International journal of forecasting. - Amsterdam [u.a.] : Elsevier Science, ISSN 0169-2070, ZDB-ID 1495951-3. - Vol. 41.2025, 1, p. 377-397
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| Subject: | Graph neural network | Nonlinearity | Quasi-likelihood | Realized volatility | Spillover effect | Neuronale Netze | Neural networks | Volatilität | Volatility | Spillover-Effekt | Graphentheorie | Graph theory | Prognoseverfahren | Forecasting model | Nichtlineare Regression | Nonlinear regression |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ijforecast.2024.09.002 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015440330