Graph-based methods for forecasting realized covariances
Year of publication: |
2025
|
---|---|
Authors: | Zhang, Chao ; Pu, Xingyue ; Cucuringu, Mihai ; Dong, Xiaowen |
Published in: |
Journal of financial econometrics. - Oxford : Oxford University Press, ISSN 1479-8417, ZDB-ID 2065613-0. - Vol. 23.2025, 2, Art.-No. nbae026, p. 1-33
|
Subject: | realized covariance | HAR | graphical LASSO | line graph | graph learning | Korrelation | Correlation | Graphentheorie | Graph theory | Prognoseverfahren | Forecasting model | Varianzanalyse | Analysis of variance | Algorithmus | Algorithm |
-
Bonato, M., (2012)
-
Forecasting realized (co)variances with a block structure Wishart autoregressive model
Bonato, Matteo, (2012)
-
Factor high-frequency based volatility (HEAVY) models
Sheppard, Kevin, (2014)
- More ...
-
Graph-based Methods for Forecasting Realized Covariances
Zhang, Chao, (2022)
-
Graph Neural Networks for Forecasting Realized Volatility with Nonlinear Spillover Effects
Zhang, Chao, (2023)
-
Purchase patterns, socioeconomic status, and political inclination
Dong, Xiaowen, (2020)
- More ...