Related papers: Robust Econometrics for Growth-at-Risk

Smart grids are crucial for meeting rising energy demands driven by global population growth and urbanization. By integrating renewable energy sources, they enhance efficiency, reliability, and sustainability. However, ensuring their…

The last decade has seen a number of advances in computationally efficient algorithms for statistical methods subject to robustness constraints. An estimator may be robust in a number of different ways: to contamination of the dataset, to…

The statistical description and modeling of volatility plays a prominent role in econometrics, risk management and finance. GARCH and stochastic volatility models have been extensively studied and are routinely fitted to market data, albeit…

Gaussian processes (GPs) enable principled computation of model uncertainty, making them attractive for safety-critical applications. Such scenarios demand that GP decisions are not only accurate, but also robust to perturbations. In this…

The smart grid represents a pivotal innovation in modernizing the electricity sector, offering an intelligent, digitalized energy network capable of optimizing energy delivery from source to consumer. It hence represents the backbone of the…

Consistent motion estimation is fundamental for all mobile autonomous systems. While this sounds like an easy task, often, it is not the case because of changing environmental conditions affecting odometry obtained from vision, Lidar, or…

This paper proposes a hybrid methodology to improve the approximation of SABR (Stochastic Alpha Beta Rho) implied volatility by combining analytical structure with machine learning. The approach augments the neural-network input…

One common belief is that with complex models and pre-training on large-scale datasets, transformer-based methods for referring expression comprehension (REC) perform much better than existing graph-based methods. We observe that since most…

Gait recognition (GR) is a growing biometric modality used for person identification from a distance through visual cameras. GR provides a secure and reliable alternative to fingerprint and face recognition, as it is harder to distinguish…

This paper investigates whether structural econometric models can rival machine learning in forecasting energy--macro dynamics while retaining causal interpretability. Using monthly data from 1999 to 2025, we develop a unified framework…

GARCH models are useful tools in the investigation of phenomena, where volatility changes are prominent features, like most financial data. The parameter estimation via quasi maximum likelihood (QMLE) and its properties are by now well…

A new model framework called Realized Conditional Autoregressive Expectile (Realized-CARE) is proposed, through incorporating a measurement equation into the conventional CARE model, in a manner analogous to the Realized-GARCH model.…

The Cram\'er-Rao bound (CRB), a well-known lower bound on the performance of any unbiased parameter estimator, has been used to study a wide variety of problems. However, to obtain the CRB, requires an analytical expression for the…

We study the problem of modelling high-dimensional, heavy-tailed time series data via a factor-adjusted vector autoregressive (VAR) model, which simultaneously accounts for pervasive co-movements of the variables by a handful of factors, as…

Economic and financial crises are characterised by unusually large events. These tail events co-move because of linear and/or nonlinear dependencies. We introduce TailCoR, a metric that combines (and disentangles) these linear and…

We introduce a new regression framework designed to deal with large-scale, complex data that lies around a low-dimensional manifold with noises. Our approach first constructs a graph representation, referred to as the skeleton, to capture…

We study fast algorithms for statistical regression problems under the strong contamination model, where the goal is to approximately optimize a generalized linear model (GLM) given adversarially corrupted samples. Prior works in this line…

The concept of univariate Range Value-at-Risk, presented by Cont et al. (2010), is extended in the multidimensional setting. Traditional risk measures are not well suited when dealing with heavy-tail distributions and infinite tail…

Graph-based Neural Networks (GNNs) are recent models created for learning representations of nodes (and graphs), which have achieved promising results when detecting patterns that occur in large-scale data relating different entities. Among…

This paper presents a comprehensive study of Retrieval-Augmented Generation (RAG), tracing its evolution from foundational concepts to the current state of the art. RAG combines retrieval mechanisms with generative language models to…