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In this paper, we propose the realized Hyperbolic GARCH model for the joint-dynamics of lowfrequency returns and realized measures that generalizes the realized GARCH model of Hansen et al.(2012) as well as the FLoGARCH model introduced by…
We propose Significance-Offset Convolutional Neural Network, a deep convolutional network architecture for regression of multivariate asynchronous time series. The model is inspired by standard autoregressive (AR) models and gating…
A Bayesian analytics framework that precisely quantifies uncertainty offers a significant advance for financial risk management. We develop an integrated approach that consistently enhances the handling of risk in market volatility…
We extend recurrent neural networks to include several flexible timescales for each dimension of their output, which mechanically improves their abilities to account for processes with long memory or with highly disparate time scales. We…
In this paper, we show that the recent integration of statistical models with deep recurrent neural networks provides a new way of formulating volatility (the degree of variation of time series) models that have been widely used in time…
This paper investigates the forecasting performance of COMEX copper futures realized volatility across various high-frequency intervals using both econometric volatility models and deep learning recurrent neural network models. The…
A regularized artificial neural network (RANN) is proposed for interval-valued data prediction. The ANN model is selected due to its powerful capability in fitting linear and nonlinear functions. To meet mathematical coherence requirement…
The vector autoregressive (VAR) model is a powerful tool in modeling complex time series and has been exploited in many fields. However, fitting high dimensional VAR model poses some unique challenges: On one hand, the dimensionality,…
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…
An iterated multistep forecasting scheme based on recurrent neural networks (RNN) is proposed for the time series generated by causal chains with infinite memory. This forecasting strategy contains, as a particular case, the iterative…
Artificial Neural Networks (ANN) have been employed for a range of modelling and prediction tasks using financial data. However, evidence on their predictive performance, especially for time-series data, has been mixed. Whereas some…
Accurate electricity price forecasting is critical for strategic decision-making in deregulated electricity markets, where volatility stems from complex supply-demand dynamics and external factors. Traditional point forecasts often fail to…
Bayesian vector autoregressions (BVARs) are the workhorse in macroeconomic forecasting. Research in the last decade has established the importance of allowing time-varying volatility to capture both secular and cyclical variations in…
This study introduces PV-RNN, a novel variational RNN inspired by the predictive-coding ideas. The model learns to extract the probabilistic structures hidden in fluctuating temporal patterns by dynamically changing the stochasticity of its…
A Vector Auto-Regressive (VAR) model is commonly used to model multivariate time series, and there are many penalized methods to handle high dimensionality. However in terms of spatio-temporal data, most methods do not take the spatial and…
Dynamic linear regression models forecast the values of a time series based on a linear combination of a set of exogenous time series while incorporating a time series process for the error term. This error process is often assumed to…
Visual Autoregressive Modeling (VAR) based on next-scale prediction achieves strong generation quality, but their explicit deep stacks fix the amount of computation per scale and inflate memory at high resolutions. We introduce Visual…
Recurrent neural networks (RNNs) have shown promising performance for language modeling. However, traditional training of RNNs using back-propagation through time often suffers from overfitting. One reason for this is that stochastic…
We consider Bayesian tensor vector autoregressions (TVARs) in which the VAR coefficients are arranged as a three-dimensional array or tensor, and this coefficient tensor is parameterized using a low-rank CP decomposition. We develop a…
Video prediction (VP) generates future frames by leveraging spatial representations and temporal context from past frames. Traditional recurrent neural network (RNN)-based models enhance memory cell structures to capture spatiotemporal…