Jeu de données
Batched, Fused and Streaming Estimation on Apple Silicon without Sacrificing Inference
We ask whether heterogeneous high-frequency econometric workloads—realized measures, rolling and batched regressions, HAR forecasting models, GARCH-family quasi-maximum likelihood, block bootstrap inference—can be reorganised into batched, fused, streaming computation on Apple Silicon GPUs without sacrificing…
Can Intraday Financial Markets Detect Corporate Deterioration Before Accounting Disclosures?
Do one-minute financial markets see a firm's forthcoming accounting deterioration before daily markets do? This paper builds a strictly point-in-time panel of 3,796 U.S. listed firms and 102,522 firm-quarters (2013–2026) from 6.7 billion raw one-minute bars and quarterly statements with filing and release dates, and…
This paper measures how realized volatility is transmitted across equity index futures, major exchange rates, gold and crude oil futures, the VIX, and the two largest cryptocurrencies. Daily realized volatilities are built from 5-minute bars for ten instruments over 2008–2026, and the connectedness of their logarithms…