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We develop a novel multivariate semi-parametric framework for joint portfolio Value-at-Risk (VaR) and Expected Shortfall (ES) forecasting. Unlike existing univariate semi-parametric approaches, the proposed framework explicitly models the…
Non-linear hierarchical models are commonly used in many disciplines. However, inference in the presence of non-nested effects and on large datasets is challenging and computationally burdensome. This paper provides two contributions to…
Accurate residential load forecasting is critical for power system reliability with rising renewable integration and demand-side flexibility. However, most statistical and machine learning models treat external factors, such as weather,…
Logistic regression is an important statistical tool for assessing the probability of an outcome based upon some predictive variables. Standard methods can only deal with precisely known data, however many datasets have uncertainties which…
Variational inference is a popular method for estimating model parameters and conditional distributions in hierarchical and mixed models, which arise frequently in many settings in the health, social, and biological sciences. Variational…
In this paper, the intra-day multi-interval rolling-window joint dispatch and pricing of energy and reserve is studied under increasing volatile and uncertain renewable generations. A look-ahead energy-reserve co-optimization model is…
This research incorporates realized volatility and overnight information into risk models, wherein the overnight return often contributes significantly to the total return volatility. Extending a semi-parametric regression model based on…
We consider a mean-reverting stochastic volatility model which satisfies some relevant stylized facts of financial markets. We introduce an algorithm for the detection of peaks in the volatility profile, that we apply to the time series of…
Variational data assimilation optimizes for an initial state of a dynamical system such that its evolution fits observational data. The physical model can subsequently be evolved into the future to make predictions. This principle is a…
Predictions are issued on the basis of certain information. If the forecasting mechanisms are correctly specified, a larger amount of available information should lead to better forecasts. For point forecasts, we show how the effect of…
The existing publications demonstrate that the limit order book data is useful in predicting short-term volatility in stock markets. Since stocks are not independent, changes on one stock can also impact other related stocks. In this paper,…
Based on It\^o semimartingale models, several studies have proposed methods for forecasting intraday volatility using high-frequency financial data. These approaches typically rely on restrictive parametric assumptions and are often…
Accurate net load forecasting is vital for energy planning, aiding decisions on trade and load distribution. However, assessing the performance of forecasting models across diverse input variables, like temperature and humidity, remains…
We propose a novel variational Bayes approach to estimate high-dimensional vector autoregression (VAR) models with hierarchical shrinkage priors. Our approach does not rely on a conventional structural VAR representation of the parameter…
Modeling heterogeneous correlated time series requires the ability to learn hidden dynamic relationships between component time series with possibly varying periodicities and generative processes. To address this challenge, we formulate and…
Optimizing static risk-averse objectives in Markov decision processes is difficult because they do not admit standard dynamic programming equations common in Reinforcement Learning (RL) algorithms. Dynamic programming decompositions that…
Nonlinear vector autoregression (NVAR) and reservoir computing (RC) have shown promise in forecasting chaotic dynamical systems, such as the Lorenz-63 model and El Nino-Southern Oscillation. However, their reliance on fixed nonlinear…
Volatility means the degree of variation of a stock price which is important in finance. Realized Volatility (RV) is an estimator of the volatility calculated using high-frequency observed prices. RV has lately attracted considerable…
Deep learning methods have gained popularity in recent years through the media and the relative ease of implementation through open source packages such as Keras. We investigate the applicability of popular recurrent neural networks in…
During the last years, European intraday power markets have gained importance for balancing forecast errors due to the rising volumes of intermittent renewable generation. However, compared to day-ahead markets, the drivers for the intraday…