相关论文: Switching-GAS Copula Models With Application to Sy…

Accurate modelling of the joint extremal dependence structure within a stationary time series is a challenging problem that is important in many applications.\ Several previous approaches to this problem are only applicable to certain types…

Although stochastic models driven by latent Markov processes are widely used, the classical importance sampling methods based on the exponential tilting for these models suffers from the difficulties in computing the eigenvalues and…

This paper proposes a safety analysis method that facilitates a tunable balance between the worst-case and risk-neutral perspectives. First, we define a risk-sensitive safe set to specify the degree of safety attained by a stochastic…

This paper develops a structural framework for characterizing the informational feasibility of financial markets under heterogeneous institutional and geopolitical conditions. Departing from the assumption of uniform and time-invariant…

Vector autoregression is an essential tool in empirical macroeconomics and finance for understanding the dynamic interdependencies among multivariate time series. In this study, we expand the scope of vector autoregression by incorporating…

We propose a dependence-aware predictive modeling framework for multivariate risks stemmed from an insurance contract with bundling features - an important type of policy increasingly offered by major insurance companies. The bundling…

We apply Gaussian process (GP) regression, which provides a powerful non-parametric probabilistic method of relating inputs to outputs, to survival data consisting of time-to-event and covariate measurements. In this context, the covariates…

We study the continuous time portfolio optimization model on the market where the mean returns of individual securities or asset categories are linearly dependent on underlying economic factors. We introduce the functional $Q_\gamma$…

Switching ARMA models greatly enhance the standard linear models to the extent that different ARMA model is allowed in a different regime, and the regime switching is typically assumed a Markov chain on the finite states of potential…

This work examines how the dependence structures between energy futures asset prices differ in two periods identified before and after the 2008 global financial crisis. These two periods were characterised by a difference in the number of…

Identifying systemic risk patterns in geopolitical, economic, financial, environmental, transportation, epidemiological systems and their impacts is the key to risk management. This paper proposes a new nonlinear time series model:…

We demonstrate how the uncertainty of parameter point estimates can be assessed in a maximum likelihood framework in order to prevent overfitting and erroneous detection of time-inhomogeneity. The class of models we consider are regular…

We study the prices of European Emission Allowances (EUA), whereby we analyze their uncertainty and dependencies on related energy prices (natural gas, coal, and oil). We propose a probabilistic multivariate conditional time series model…

In this paper, we study large losses arising from defaults of a credit portfolio. We assume that the portfolio dependence structure is modelled by the Archimedean copula family as opposed to the widely used Gaussian copula. The resulting…

Monte Carlo Approaches for calculating Value-at-Risk (VaR) are powerful tools widely used by financial risk managers across the globe. However, they are time consuming and sometimes inaccurate. In this paper, a fast and accurate Monte Carlo…

Key to effective generic, or "black-box", variational inference is the selection of an approximation to the target density that balances accuracy and speed. Copula models are promising options, but calibration of the approximation can be…

Capturing complex dependence structures between outcome variables (e.g., study endpoints) is of high relevance in contemporary biomedical data problems and medical research. Distributional copula regression provides a flexible tool to model…

Risk sensitive decision making finds important applications in current day use cases. Existing risk measures consider a single or finite collection of random variables, which do not account for the asymptotic behaviour of underlying…

Although there is much recent work developing flexible variational methods for Bayesian computation, Gaussian approximations with structured covariance matrices are often preferred computationally in high-dimensional settings. This paper…

Bayesian graphical models are a useful tool for understanding dependence relationships among many variables, particularly in situations with external prior information. In high-dimensional settings, the space of possible graphs becomes…