Related papers: A mixed-frequency approach for exchange rates pred…
Mixture of Experts (MoE) is a popular framework for modeling heterogeneity in data for regression, classification, and clustering. For regression and cluster analyses of continuous data, MoE usually use normal experts following the Gaussian…
This article proposes a Bayesian nonparametric method for forecasting, imputation, and clustering in sparsely observed, multivariate time series data. The method is appropriate for jointly modeling hundreds of time series with widely…
This paper proposes two distinct contributions to econometric analysis of large information sets and structural instabilities. First, it treats a regression model with time-varying coefficients, stochastic volatility and exogenous…
A central problem of Quantitative Finance is that of formulating a probabilistic model of the time evolution of asset prices allowing reliable predictions on their future volatility. As in several natural phenomena, the predictions of such…
Uncertainty in the prediction of future weather is commonly assessed through the use of forecast ensembles that employ a numerical weather prediction model in distinct variants. Statistical postprocessing can correct for biases in the…
The stochastic volatility model is a popular tool for modeling the volatility of assets. The model is a nonlinear and non-Gaussian state space model, and consequently is difficult to fit. Many approaches, both classical and Bayesian, have…
This paper presents a fuzzy system approach to the prediction of nonlinear time-series and dynamical systems. To do this, the underlying mechanism governing a time-series is perceived by a modified structure of a fuzzy system in order to…
This study develops and empirically validates a Mixture of Experts (MoE) framework for stock price prediction across heterogeneous volatility regimes using real market data. The proposed model combines a Recurrent Neural Network (RNN)…
Mixed data refers to a type of data in which variables can be of multiple types, such as continuous, discrete, or categorical. This data is routinely collected in various fields, including healthcare and social sciences. A common goal in…
Conformal prediction is a widely used method to quantify the uncertainty of a classifier under the assumption of exchangeability (e.g., IID data). We generalize conformal prediction to the Hidden Markov Model (HMM) framework where the…
Mesoscale forecasts are now routinely performed as elements of operational forecasts and their outputs do appear convincing. However, despite their realistic appearance at times the comparison to observations is less favorable. At the grid…
This paper introduces a new approach for Multivariate Time Series forecasting that jointly infers and leverages relations among time series. Its modularity allows it to be integrated with current univariate methods. Our approach allows to…
Bayesian mixture models are widely applied for unsupervised learning and exploratory data analysis. Markov chain Monte Carlo based on Gibbs sampling and split-merge moves are widely used for inference in these models. However, both methods…
In this paper we develop a Bayesian procedure for estimating multivariate stochastic volatility (MSV) using state space models. A multiplicative model based on inverted Wishart and multivariate singular beta distributions is proposed for…
Marginal expected shortfall is unquestionably one of the most popular systemic risk measures. Studying its extreme behaviour is particularly relevant for risk protection against severe global financial market downturns. In this context,…
We suggest an intermediate currency approach that allows us to price options on all FX markets simultaneously under the same risk-neutral measure which ensures consistency of FX option prices across all markets. In particular, it is…
High-frequency financial data of the foreign exchange market (EUR/CHF, EUR/GBP, EUR/JPY, EUR/NOK, EUR/SEK, EUR/USD, NZD/USD, USD/CAD, USD/CHF, USD/JPY, USD/NOK, and USD/SEK) are analyzed by utilizing the Kullback-Leibler divergence between…
Exchangeability is a central notion in statistics and probability theory. The assumption that an infinite sequence of data points is exchangeable is at the core of Bayesian statistics. However, finite exchangeability as a statistical…
Accurate exchange rate prediction is fundamental to financial stability and international trade, positioning it as a critical focus in economic and financial research. Traditional forecasting models often falter when addressing the inherent…
We explore a stochastic model that enables capturing external influences in two specific ways. The model allows for the expression of uncertainty in the parametrisation of the stochastic dynamics and incorporates patterns to account for…