Related papers: Multiple Wavelet Coherency Analysis and Forecastin…
Forecasting multivariate time series remains challenging due to complex cross-variable dependencies and the presence of heterogeneous external influences. This paper presents Spectrogram-Enhanced Multimodal Fusion (SEMF), which combines…
The method of element analysis is proposed here as an alternative to traditional wavelet-based approaches to analyzing perturbations in financial signals by scale. In this method, the processes that generate oscillations in financial…
The Mat\'ern covariance model is ubiquitous in spatial modelling, but there is no default choice for spatio-temporal modelling. In this paper, we consider the recently proposed ``diffusion-based'' extension of the spatial Mat\'ern…
In this paper, we propose a novel variable selection approach in the framework of sparse high-dimensional GLARMA models. It consists in combining the estimation of the autoregressive moving average (ARMA) coefficients of these models with…
Using the correlation matrix formalism we study the temporal aspects of the Warsaw Stock Market evolution as represented by the WIG20 index. The high frequency (1 min) WIG20 recordings over the time period between January 2001 and October…
In this work, we apply machine learning techniques to historical stock prices to forecast future prices. To achieve this, we use recursive approaches that are appropriate for handling time series data. In particular, we apply a linear…
A proper description of ocean-atmosphere interactions is key for a correct understanding of climate evolution. The interplay among the different variables acting over the climate is complex, often leading to correlations across long spatial…
We introduce the Historical and Dynamic Volatility Ratios (HVR/DVR) and show that equity and index volatilities are cointegrated at intraday and daily horizons. This allows us to construct a VECM to forecast portfolio volatility by…
We introduce a novel way to extract information from turbulent datasets by applying an ARMA statistical analysis. Such analysis goes well beyond the analysis of the mean flow and of the fluctuations and links the behavior of the recorded…
We investigated the use of Empirical Mode Decomposition (EMD) combined with Gaussian Mixture Models (GMM), feature engineering and machine learning algorithms to optimize trading decisions. We used five, two, and one year samples of hourly…
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…
Studies often estimate associations between an outcome and multiple variates. For example, studies of diagnostic test accuracy estimate sensitivity and specificity, and studies of predictive and prognostic factors typically estimate…
Wind speed modelling and prediction has been gaining importance because of its significant roles in various stages of wind energy management. In this paper, we propose a hybrid model, based on wavelet transform to improve the accuracy of…
We introduce wavelet-based methodology for estimation of realized variance allowing its measurement in the time-frequency domain. Using smooth wavelets and Maximum Overlap Discrete Wavelet Transform, we allow for the decomposition of the…
Accurate and reliable prediction of Photovoltaic (PV) power output is critical to electricity grid stability and power dispatching capabilities. However, Photovoltaic (PV) power generation is highly volatile and unstable due to different…
This paper proposes an enhanced approach to modeling and forecasting volatility using high frequency data. Using a forecasting model based on Realized GARCH with multiple time-frequency decomposed realized volatility measures, we study the…
We consider option pricing using a discrete-time Markov switching stochastic volatility with co-jump model, which can model volatility clustering and varying mean-reversion speeds of volatility. For pricing European options, we develop a…
We quantify how co-jumps impact correlations in currency markets. To disentangle the continuous part of quadratic covariation from co-jumps, and study the influence of co-jumps on correlations, we propose a new wavelet-based estimator. The…
In this article we study multivariate continuous-time autoregressive moving-average (MCARMA) processes with values in convex cones. More specifically, we introduce matrix-valued MCARMA processes with L\'evy noise and present necessary and…
The ability to make optimal decisions under uncertainty remains important across a variety of disciplines from portfolio management to power engineering. This generally implies applying some safety margins on uncertain parameters that may…