Graph Neural Networks for Forecasting Multivariate Realized Volatility with Spillover Effects.
Chao ZhangXingyue PuMihai CucuringuXiaowen DongPublished in: CoRR (2023)
Keyphrases
- neural network
- exchange rate
- garch model
- financial time series
- multivariate time series
- short term
- structured data
- graph theory
- backpropagation neural networks
- grey model
- random walk
- artificial neural networks
- fuzzy logic
- graph model
- multi layer
- pattern recognition
- connected components
- weather forecasting
- graph partitioning
- spanning tree
- directed acyclic graph
- weighted graph
- self organizing maps
- neural nets
- financial crisis
- graph matching
- neural network model
- directed graph
- fault diagnosis
- financial forecasting
- bipartite graph
- graph theoretic
- statistical tests
- graph structure
- prediction model
- feed forward
- regression model
- support vector machine
- genetic algorithm