Related papers: GARCH-FIS: A Hybrid Forecasting Model with Dynamic…
Several well-established benchmark predictors exist for Value-at-Risk (VaR), a major instrument for financial risk management. Hybrid methods combining AR-GARCH filtering with skewed-$t$ residuals and the extreme value theory-based approach…
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…
Here we present a theoretical study on the main properties of Fractionally Integrated Exponential Generalized Autoregressive Conditional Heteroskedastic (FIEGARCH) processes. We analyze the conditions for the existence, the invertibility,…
A fluid reconfigurable intelligent surface (fRIS)-aided integrated sensing and communication (ISAC) system is proposed to enhance multi-target sensing and multi-user communication. Unlike the conventional RIS, the fRIS employs movable…
Millimeter-wave radar provides robust perception in visually degraded environments. However, radar-inertial state estimation is inherently susceptible to drift. Because radar yields only sparse, body-frame velocity measurements, it provides…
This paper proposes a semiparametric joint VaRES framework driven by realized information, mo tivated by the economic mechanisms underlying tail risk generation. Building on the CAViaR quantile recursion, the model introduces a dynamic…
This paper presents an Adaptive Dynamic Attribute and Rule (ADAR) framework designed to address the challenges posed by high-dimensional data in neuro-fuzzy inference systems. By integrating dual weighting mechanisms-assigning adaptive…
Our article considers a regression model with observed factors. The observed factors have a flexible stochastic volatility structure that has separate dynamics for the volatilities and the correlation matrix. The correlation matrix of the…
In this paper, We propose a new style panel data factor stochastic volatility model with observable factors and unobservable factors based on the multivariate stochastic volatility model, which is mainly composed of three parts, such as the…
Hybrid approaches that combine data-driven learning with physics-based insight have shown promise for improving the reliability of industrial condition monitoring. This work develops a hybrid condition monitoring framework that integrates…
In order to calculate the unobserved volatility in conditional heteroscedastic time series models, the natural recursive approximation is very often used. Following \cite{StraumannMikosch2006}, we will call the model \emph{invertible} if…
We develop a procedure for forecasting the volatility of a time series immediately following a news shock. Adapting the similarity-based framework of Lin and Eck (2020), we exploit series that have experienced similar shocks. We aggregate…
We provide a simple method to estimate the parameters of multivariate stochastic volatility models with latent factor structures. These models are very useful as they alleviate the standard curse of dimensionality, allowing the number of…
Volatility forecasting in financial markets is a topic that has received more attention from scholars. In this paper, we propose a new volatility forecasting model that combines the heterogeneous autoregressive (HAR) model with a family of…
This Ph.D. thesis explores approximations and regularity for the Heston stochastic volatility model through three interconnected works. The first work focuses on developing high-order weak approximations for the Cox-Ingersoll-Ross (CIR)…
We develop a hierarchical Gaussian process model for forecasting and inference of functional time series data. Unlike existing methods, our approach is especially suited for sparsely or irregularly sampled curves and for curves sampled with…
In an asset return series there is a conditional asymmetric dependence between current return and past volatility depending on the current return's sign. To take into account the conditional asymmetry, we introduce new models for asset…
Prognostics aid in the longevity of fielded systems or products. Quantifying the system's current health enable prognosis to enhance the operator's decision-making to preserve the system's health. Creating a prognosis for a system can be…
This paper presents a performance benchmarking study of a Gradient-Optimized Fuzzy Inference System (GF) classifier against several state-of-the-art machine learning models, including Random Forest, XGBoost, Logistic Regression, Support…
This study proposes deterministic and stochastic energy-aware hybrid models that should enable simulations of idealized and primitive-equations Geophysical Fluid Dynamics (GFD) models at low resolutions without compromising on quality…