Related papers: Hysteretic Multivariate Bayesian Structural GARCH …

In this paper, we introduce a new single model maneuvering target tracking approach using stochastic differential equation (SDE) based on GARCH volatility. The traditional input estimation (IE) techniques assume constant acceleration level…

The discrete-time GARCH methodology which has had such a profound influence on the modelling of heteroscedasticity in time series is intuitively well motivated in capturing many `stylized facts' concerning financial series, and is now…

Realised volatility has become increasingly prominent in volatility forecasting due to its ability to capture intraday price fluctuations. With a growing variety of realised volatility estimators, each with unique advantages and…

The Gaussian Graphical Model (GGM) is a popular tool for incorporating sparsity into joint multivariate distributions. The G-Wishart distribution, a conjugate prior for precision matrices satisfying general GGM constraints, has now been in…

I introduce a high-dimensional Bayesian vector autoregressive (BVAR) framework designed to estimate the effects of conventional monetary policy shocks. The model captures structural shocks as latent factors, enabling computationally…

This study was conducted to find an appropriate statistical model to forecast the volatilities of PSEi using the model Generalized Autoregressive Conditional Heteroskedasticity (GARCH). Using the R software, the log returns of PSEi is…

In the last few decades, Markov chain Monte Carlo (MCMC) methods have been widely applied to Bayesian updating of structural dynamic models in the field of structural health monitoring. Recently, several MCMC algorithms have been developed…

We develop a novel Bayesian framework for dynamic modeling of mixed frequency data to nowcast quarterly U.S. GDP growth. The introduced framework utilizes foundational Bayesian theory and treats data sampled at different frequencies as…

Data-based approaches are promising alternatives to the traditional analytical constitutive models for solid mechanics. Herein, we propose a Gaussian process (GP) based constitutive modeling framework, specifically focusing on planar,…

Gaussian graphical models provide a powerful framework for studying conditional dependencies in multivariate data, with widespread applications spanning biomedical, environmental sciences, and other data-rich scientific domains. While the…

We propose a novel class of multivariate GARCH models that incorporate realized measures of volatility and correlations. The key innovation is an unconstrained vector parametrization of the conditional correlation matrix, which enables the…

In this study, Bayesian inference is developed for structural vector autoregressive models in which the structural parameters are identified via Markov-switching heteroskedasticity. In such a model, restrictions that are just-identifying in…

This paper introduces a loss-based generalized Bayesian methodology for high-dimensional robust regression with serially correlated errors and predictors. The proposed framework employs a novel scaled pseudo-Huber (SPH) loss function, which…

Several phenomena are available representing market activity: volumes, number of trades, durations between trades or quotes, volatility - however measured - all share the feature to be represented as positive valued time series. When…

We present a Bayesian approach for modeling multivariate, dependent functional data. To account for the three dominant structural features in the data--functional, time dependent, and multivariate components--we extend hierarchical dynamic…

Range-measured return contains more information than the traditional scalar-valued return. In this paper, we propose to model the [low, high] price range as a random interval and suggest an interval-valued GARCH (Int-GARCH) model for the…

This paper introduces a new sparse spatio-temporal structured Gaussian process regression framework for online and offline Bayesian inference. This is the first framework that gives a time-evolving representation of the interdependencies…

In extracting time series data from various sources, it is inevitable to compile variables measured at varying frequencies as this is often dependent on the source. Modeling from these data can be facilitated by aggregating high frequency…

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…

Volatility clustering is an important characteristic that has a significant effect on the behavior of stock markets. However, designing robust models for accurate prediction of future volatilities of stock prices is a very challenging…