Predicting Corporate Risk by Jointly Modeling Company Networks and Dialogues in Earnings Conference Calls. (arXiv:2206.06174v3 [cs.CL] UPDATED)

Earnings conference calls are significant information events for volatility
forecasting, which is essential for financial risk management and asset
pricing. Although some recent volatility forecasting models have utilized the
textual content of conference calls, the dialogue structures of conference
calls and company relationships are almost ignored in extant literature. To
bridge this gap, we propose a new model called Temporal Virtual Graph Neural
Network (TVGNN) for volatility forecasting by jointly modeling conference call
dialogues and company networks. Our model differs …

arxiv conference corporate earnings modeling networks risk