2 papers
econ.EM2026
A Structural Matrix Autoregressive Model for the Joint Dynamics of Volume, Volatility, and Returns
Andrea Bucci, Giulio Palomba, Eduardo Rossi
This paper proposes a Structural Matrix Autoregressive (SMAR) model for the joint analysis of asset returns, realized volatility, and trading volume in a large-dimensional setting.…
q-fin.CP2024
Geometric Deep Learning for Realized Covariance Matrix Forecasting
Andrea Bucci, Michele Palma, Chao Zhang
Traditional methods employed in matrix volatility forecasting often overlook the inherent Riemannian manifold structure of symmetric positive definite matrices, treating them as el…