Related papers: Forecasting with time-varying vector autoregressiv…
This paper offers a new approach for estimating and forecasting the volatility of financial time series. No assumption is made about the parametric form of the processes. On the contrary, we only suppose that the volatility can be…
This paper introduces a flexible time-varying network vector autoregressive model framework for large-scale time series. A latent group structure is imposed on the heterogeneous and node-specific time-varying momentum and network spillover…
The accurate prediction of time-changing covariances is an important problem in the modeling of multivariate financial data. However, some of the most popular models suffer from a) overfitting problems and multiple local optima, b) failure…
In this paper, a new approach to bivariate modeling of autoregressive conditional duration (ACD) models is proposed. Specifically, we consider the joint modeling of durations and the number of transactions made during the spell. The…
We introduce a multivariate stochastic volatility model for asset returns that imposes no restrictions to the structure of the volatility matrix and treats all its elements as functions of latent stochastic processes. When the number of…
Volatility is a key measure of risk in financial analysis. The high volatility of one financial asset today could affect the volatility of another asset tomorrow. These lagged effects among volatilities - which we call volatility spillovers…
A buffered double autoregressive (BDAR) time series model is proposed in this paper to depict the buffering phenomenon of conditional mean and conditional variance in time series. To build this model, a novel flexible regime switching…
This paper addresses the prediction of stationary functional time series. Existing contributions to this problem have largely focused on the special case of first-order functional autoregressive processes because of their technical…
Time series forecasting has always been a thought-provoking topic in the field of machine learning. Machine learning scientists define a time series as a set of observations recorded over consistent time steps. And, time series forecasting…
This article proposes a novel Bayesian multivariate quantile regression to forecast the tail behavior of energy commodities, where the homoskedasticity assumption is relaxed to allow for time-varying volatility. In particular, we exploit…
This research paper introduces innovative approaches for multivariate time series forecasting based on different variations of the combined regression strategy. We use specific data preprocessing techniques which makes a radical change in…
The popular systemic risk measure CoVaR (conditional Value-at-Risk) and its variants are widely used in economics and finance. In this article, we propose joint dynamic forecasting models for the Value-at-Risk (VaR) and CoVaR. The CoVaR…
We present a windowed technique to learn parsimonious time-varying autoregressive models from multivariate timeseries. This unsupervised method uncovers interpretable spatiotemporal structure in data via non-smooth and non-convex…
Univariate time series often take the form of a collection of curves observed sequentially over time. Examples of these include hourly ground-level ozone concentration curves. These curves can be viewed as a time series of functions…
We present an algorithm for minimizing the sum of a strongly convex time-varying function with a time-invariant, convex, and nonsmooth function. The proposed algorithm employs the prediction-correction scheme alongside the forward-backward…
Conjugate priors allow for fast inference in large dimensional vector autoregressive (VAR) models but, at the same time, introduce the restriction that each equation features the same set of explanatory variables. This paper proposes a…
Matrix-variate data of high dimensions are frequently observed in finance and economics, spanning extended time periods, such as the long-term data on international trade flows among numerous countries. To address potential structural…
Multivariate volatility modeling and forecasting are crucial in financial economics. This paper develops a copula-based approach to model and forecast realized volatility matrices. The proposed copula-based time series models can capture…
A class of multivariate periodic autoregressive models is proposed where coupling between time series is achieved through linear mean functions. Various response distributions with quadratic mean-variance relationships fit into the…
Flexible regression methods where interest centres on the way that the whole distribution of a response vector changes with covariates are very useful in some applications. A recently developed technique in this regard uses the…