Related papers: GARCH-FIS: A Hybrid Forecasting Model with Dynamic…
This paper intends to meet recent claims for the attainment of more rigorous statistical methodology within the econophysics literature. To this end, we consider an econometric approach to investigate the outcomes of the log-periodic model…
We test various volatility models using the Bitcoin spot price series. Our models include HIST, EMA ARCH, GARCH, and EGARCH, models. Both of our in-sample-fit and out-of-sample-forecast results suggest that GARCH and EGARCH models perform…
Adaptive fuzzy control strategies are established to achieve global prescribed performance with prescribed-time convergence for strict-feedback systems with mismatched uncertainties and unknown nonlinearities. Firstly, to quantify the…
Under the framework of dynamic conditional score, we propose a parametric forecasting model for Value-at-Risk based on the normal inverse Gaussian distribution (Hereinafter NIG-DCS-VaR), which creatively incorporates intraday information…
This paper proposes a hybrid Gaussian process (GP) approach to robust economic model predictive control under unknown future disturbances in order to reduce the conservatism of the controller. The proposed hybrid GP is a combination of two…
As the dynamic structure of the financial markets is subject to dramatic changes, a model capable of providing consistently accurate volatility estimates must not make strong assumptions on how prices change over time. Most volatility…
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…
This paper derives the analytic form of the $h$-step ahead prediction density of a GARCH(1,1) process under Gaussian innovations, with a possibly asymmetric news impact curve. The contributions of the paper consists both in the derivation…
This thesis presents fuzzy-L1 adaptive controller and Model Reference Adaptive Control (MRAC) with Prescribed Performance Function (PPF) as two adaptive approaches for high nonlinear systems as two original contribution to the literature.…
It is an important task to model realized volatilities for high-frequency data in finance and economics and, as arguably the most popular model, the heterogeneous autoregressive (HAR) model has dominated the applications in this area.…
This paper advances the local projections (LP) method by addressing its inefficiency in high-frequency economic and financial data with volatility clustering. We incorporate a generalized autoregressive conditional heteroskedasticity…
Transition-related financial markets are increasingly exposed to abrupt repricing episodes, elevated volatility, and heterogeneous macro-financial shocks. Under such conditions, conventional Gaussian-linear forecasting frameworks may…
Fluid reconfigurable intelligent surfaces (FRIS) enable joint position and phase reconfigurability by integrating fluid antennas (FA) with conventional reconfigurable intelligent surfaces (RIS). In this paper, we propose a novel FRIS-based…
We study portfolio optimization of four major cryptocurrencies. Our time series model is a generalized autoregressive conditional heteroscedasticity (GARCH) model with multivariate normal tempered stable (MNTS) distributed residuals used to…
Gaussian processes (GPs) are generally regarded as the gold standard surrogate model for emulating computationally expensive computer-based simulators. However, the problem of training GPs as accurately as possible with a minimum number of…
Stochastic variational inference algorithms are derived for fitting various heteroskedastic time series models. We examine Gaussian, t, and skew-t response GARCH models and fit these using Gaussian variational approximating densities. We…
This paper seeks to forecast intraday volatility curves for major foreign exchange (FX) currencies using functional GARCH models. Intraday return curves are observed at a daily frequency, yet preserve the full high-frequency trading…
In Internet of things (IoT), data is continuously recorded from different data sources and devices can suffer faults in their embedded electronics, thus leading to a high-dimensional data sets and concept drift events. Therefore, methods…
Hybridization of machine learning methods with soft computing techniques is an essential approach to improve the performance of the prediction models. Hybrid machine learning models, particularly, have gained popularity in the advancement…
A standard model of (conditional) heteroscedasticity, i.e., the phenomenon that the variance of a process changes over time, is the Generalized AutoRegressive Conditional Heteroskedasticity (GARCH) model, which is especially important for…