Connectivité de Diebold–Yilmaz

RAID: A Metal-Accelerated C++ Framework for Reproducible High-Frequency Financial Econometrics

Batched, Fused and Streaming Estimation on Apple Silicon without Sacrificing Inference

Simon-Pierre Boucher · Cahiers de recherche UQO · novembre 2026 · v1.0

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…

Intraday Volatility Transmission Across Asset Classes: A Connectedness Analysis of Equities, Foreign Exchange, Commodities, and Cryptocurrencies

Simon-Pierre Boucher · Cahiers de recherche UQO · octobre 2026 · v1.1

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…