3 résultats
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…
The paper compares 27 forecasts of daily realized variance (six HAR specifications, GARCH, GJR, EGARCH and Realized GARCH, penalized regressions, random forests, XGBoost and LightGBM on two information sets, an LSTM, a Transformer, a LightGBM pooled across assets, and two combinations) on 25 liquid instruments from…
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…