3 papers
q-fin.ST2026
Structured SDEs for Realized GARCH: Continuous-Time Volatility Modelling and Component-Level Analysis
Hongyu Yao, Zhengyang Chi, Junbin Gao
We propose a structured continuous-time stochastic volatility model for one-day-ahead integrated-variance forecasting. The model introduces a jointly evolving realized-measure stat…
q-fin.GN2024
Graph Signal Processing for Global Stock Market Realized Volatility Forecasting
Zhengyang Chi, Junbin Gao, Chao Wang
This paper introduces an innovative realized volatility (RV) forecasting framework that extends the conventional Heterogeneous autoregressive (HAR) model via integrating Graph Sign…
q-fin.GN2024
Global Stock Market Volatility Forecasting Incorporating Dynamic Graphs and All Trading Days
Zhengyang Chi, Junbin Gao, Chao Wang
This paper introduces a global stock market volatility forecasting model that enhances forecasting accuracy and practical utility in real-world financial decision-making by integra…