Multivariate Realized Volatility Forecasting with Graph Neural Network-Reference-Cited by-同舟云学术

Multivariate Realized Volatility Forecasting with Graph Neural Network

Published:2022-10-26 Issue: Volume: Page:
ISSN:
Container-title:3rd ACM International Conference on AI in Finance
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Author:

Chen Qinkai¹,Robert Christian-Yann²

Affiliation:

1. Ecole Polytechnique, France and ExodusPoint Capital Management, France

2. ENSAE Paris, France

Publisher

ACM

Link

https://dl.acm.org/doi/pdf/10.1145/3533271.3561663

Reference43 articles.

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2. Torben G Andersen Tim Bollerslev Peter Christoffersen and Francis X Diebold. 2005. Volatility forecasting. Torben G Andersen Tim Bollerslev Peter Christoffersen and Francis X Diebold. 2005. Volatility forecasting.

3. Sercan O Arık and Tomas Pfister . 2020 . Tabnet: Attentive interpretable tabular learning. arXiv (2020). Sercan O Arık and Tomas Pfister. 2020. Tabnet: Attentive interpretable tabular learning. arXiv (2020).

4. Dzmitry Bahdanau Kyunghyun Cho and Yoshua Bengio. 2014. Neural machine translation by jointly learning to align and translate. arXiv preprint arXiv:1409.0473(2014). Dzmitry Bahdanau Kyunghyun Cho and Yoshua Bengio. 2014. Neural machine translation by jointly learning to align and translate. arXiv preprint arXiv:1409.0473(2014).

5. Ole E Barndorff-Nielsen P Reinhard Hansen Asger Lunde and Neil Shephard. 2009. Realized kernels in practice: Trades and quotes. Ole E Barndorff-Nielsen P Reinhard Hansen Asger Lunde and Neil Shephard. 2009. Realized kernels in practice: Trades and quotes.

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