7 citations · 14 across the 8 of their papers we have counts for
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q-fin.ST2024★ 2 cited
A Comparison of Cryptocurrency Volatility-benchmarking New and Mature Asset Classes
Alessio Brini, Jimmie Lenz
The paper analyzes the cryptocurrency ecosystem at both the aggregate and individual levels to understand the factors that impact future volatility. The study uses high-frequency p…
q-fin.ST2024★ 4 cited
SpotV2Net: Multivariate Intraday Spot Volatility Forecasting via Vol-of-Vol-Informed Graph Attention Networks
Alessio Brini, Giacomo Toscano
This paper introduces SpotV2Net, a multivariate intraday spot volatility forecasting model based on a Graph Attention Network architecture. SpotV2Net represents assets as nodes wit…