Copertina

A Nonlinear Target-Factor Model with Attention Mechanism for Mixed-Frequency Data

Fuente: arXiv

Salvato in:

Dettagli Bibliografici
Autori principali:	Brini, Alessio, Seregina, Ekaterina
Natura:	Preprint
Pubblicazione:	2026
Soggetti:	Econometrics Statistical Finance
Accesso online:	Acceder al recurso
Tags:	Aggiungi Tag Nessun Tag, puoi essere il primo ad aggiungerne!!

Documenti analoghi

Dynamic Latent-Factor Model with High-Dimensional Asset Characteristics
di: Baybutt, Adam
Pubblicazione: (2024)

A Dynamic Spatiotemporal and Network ARCH Model with Common Factors
di: Doğan, Osman, et al.
Pubblicazione: (2024)

Method of Moments Estimation for Affine Stochastic Volatility Models
di: Wu, Yan-Feng, et al.
Pubblicazione: (2024)

Dynamically Consistent Analysis of Realized Covariations in Term Structure Models
di: Schroers, Dennis
Pubblicazione: (2024)

Adaptive Market Intelligence: A Mixture of Experts Framework for Volatility-Sensitive Stock Forecasting
di: Vallarino, Diego
Pubblicazione: (2025)

Beyond the Traditional VIX: A Novel Approach to Identifying Uncertainty Shocks in Financial Markets
di: Jha, Ayush, et al.
Pubblicazione: (2024)

Stealing Accuracy: Predicting Day-ahead Electricity Prices with Temporal Hierarchy Forecasting (THieF)
di: Lipiecki, Arkadiusz, et al.
Pubblicazione: (2025)

What events matter for exchange rate volatility ?
di: Martins, Igor, et al.
Pubblicazione: (2024)

The impact of the Russia-Ukraine conflict on the extreme risk spillovers between agricultural futures and spots
di: Zhou, Wei-Xing, et al.
Pubblicazione: (2023)

Multiscale Causal Analysis of Market Efficiency via News Uncertainty Networks and the Financial Chaos Index
di: Ataei, Masoud
Pubblicazione: (2025)

iCOS: Option-Implied COS Method
di: Vladimirov, Evgenii
Pubblicazione: (2023)

Assets Forecasting with Feature Engineering and Transformation Methods for LightGBM
di: Bisdoulis, Konstantinos-Leonidas
Pubblicazione: (2024)

Efficient Asymmetric Causality Tests
di: Hatemi-J, Abdulnasser
Pubblicazione: (2024)

Are there Dragon Kings in the Stock Market?
di: Liu, Jiong, et al.
Pubblicazione: (2023)

Do News and Social Media Tell the Same Story? Constructing and Comparing Sentiment Spillover Networks
di: Wu, Fan, et al.
Pubblicazione: (2026)

Liquidity Jump, Liquidity Diffusion, and Treatment on Wash Trading of Crypto Assets
di: Deng, Qi, et al.
Pubblicazione: (2024)

HARd to Beat: The Overlooked Impact of Rolling Windows in the Era of Machine Learning
di: Audrino, Francesco, et al.
Pubblicazione: (2024)

Do t-Statistic Hurdles Need to be Raised?
di: Chen, Andrew Y.
Pubblicazione: (2022)

Bayesian Analysis of High Dimensional Vector Error Correction Model
di: Yang, Parley R, et al.
Pubblicazione: (2023)

Volatility of Volatility and Leverage Effect from Options
di: Chong, Carsten H., et al.
Pubblicazione: (2023)

Multivariate Simulation-based Forecasting for Intraday Power Markets: Modelling Cross-Product Price Effects
di: Hirsch, Simon, et al.
Pubblicazione: (2023)

SpotV2Net: Multivariate Intraday Spot Volatility Forecasting via Vol-of-Vol-Informed Graph Attention Networks
di: Brini, Alessio, et al.
Pubblicazione: (2024)

Beyond the Mean: Limit Theory and Tests for Infinite-Mean Autoregressive Conditional Durations
di: Cavaliere, Giuseppe, et al.
Pubblicazione: (2025)

Efficient Integrated Volatility Estimation in the Presence of Infinite Variation Jumps via Debiased Truncated Realized Variations
di: Boniece, B. Cooper, et al.
Pubblicazione: (2022)

A Nontrivial Upper Bound on the Out-of-Sample $R^2$ in Return Forecasting
di: Zhang, Cheng
Pubblicazione: (2026)

A Note on the Asymptotic Properties of the GLS Estimator in Multivariate Regression with Heteroskedastic and Autocorrelated Errors
di: Moriya, Koichiro, et al.
Pubblicazione: (2025)

Clustered Network Connectedness: A New Measurement Framework with Application to Global Equity Markets
di: Buchwalter, Bastien, et al.
Pubblicazione: (2025)

Multi-regime Markov-switching models with time-varying transition probabilities: An application to U.S. Treasury yields
di: Modée, Samuel, et al.
Pubblicazione: (2026)

Holistic Multi-Scale Inference of the Leverage Effect: Efficiency under Dependent Microstructure Noise
di: Xiong, Ziyang, et al.
Pubblicazione: (2025)

Introducing shrinkage in heavy-tailed state space models to predict equity excess returns
di: Huber, Florian, et al.
Pubblicazione: (2018)

Kernel Three Pass Regression Filter
di: Jat, Rajveer, et al.
Pubblicazione: (2024)

Supervised Dynamic PCA: Linear Dynamic Forecasting with Many Predictors
di: Gao, Zhaoxing, et al.
Pubblicazione: (2023)

Finite-Sample Properties of Model Specification Tests for Multivariate Dynamic Regression Models
di: Moriya, Koichiro, et al.
Pubblicazione: (2026)

High-Throughput Asset Pricing
di: Chen, Andrew Y., et al.
Pubblicazione: (2023)

Generalized Beta Prime Distribution: Stochastic Model of Economic Exchange and Properties of Inequality Indices
di: Moghaddam, M. Dashti, et al.
Pubblicazione: (2019)

A nonparametric test for rough volatility
di: Chong, Carsten H., et al.
Pubblicazione: (2024)

Sparse Asymptotic PCA: Identifying Sparse Latent Factors Across Time Horizon in High-Dimensional Time Series
di: Gao, Zhaoxing
Pubblicazione: (2024)

A Comparison of Cryptocurrency Volatility-benchmarking New and Mature Asset Classes
di: Brini, Alessio, et al.
Pubblicazione: (2024)

Sparse spanning portfolios and under-diversification with second-order stochastic dominance
di: Arvanitis, Stelios, et al.
Pubblicazione: (2024)

Transforming Japan Real Estate
di: Haque, Diabul
Pubblicazione: (2024)