most citedSpotV2Net: Multivariate Intraday Spot Volatility Forecasting via Vol-of-Vol-Informed Graph Attention Networks

4 citations · 4 across the 1 of their papers we have counts for

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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…