SpotV2Net : multivariate intraday spot volatility forecasting via vol-of-vol-informed graph attention networks
Alessio Brini, Giacomo Toscano
| Year of publication: |
2025
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|---|---|
| Authors: | Brini, Alessio ; Toscano, Giacomo |
| Published in: |
International journal of forecasting. - Amsterdam [u.a.] : Elsevier Science, ISSN 0169-2070, ZDB-ID 1495951-3. - Vol. 41.2025, 3, p. 1093-1111
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| Subject: | Graph attention networks | Graph neural networks | Multivariate spot volatility forecasting | Non-parametric Fourier estimators | Spot volatility | Spot volatility of volatility | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Neuronale Netze | Neural networks | Graphentheorie | Graph theory | ARCH-Modell | ARCH model | Spotmarkt | Spot market | Multivariate Analyse | Multivariate analysis | Schätztheorie | Estimation theory | Nichtparametrisches Verfahren | Nonparametric statistics |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ijforecast.2024.11.004 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015441528