相关论文: GARCHX-NoVaS: A Model-free Approach to Incorporate…

Volatility forecasting plays an important role in the financial econometrics. Previous works in this regime are mainly based on applying various GARCH-type models. However, it is hard for people to choose a specific GARCH model which works…

This article explores the existing normalizing and variance-stabilizing (NoVaS) method on predicting squared log-returns of financial data. First, we explore the robustness of the existing NoVaS method for long-term time-aggregated…

This work is devoted to the study of modeling geophysical and financial time series. A class of volatility models with time-varying parameters is presented to forecast the volatility of time series in a stationary environment. The modeling…

This project introduces the GNAR-HARX model, which combines Generalised Network Autoregressive (GNAR) structure with Heterogeneous Autoregressive (HAR) dynamics and exogenous predictors such as implied volatility. The model is designed for…

Modeling the time-varying covariance structures of high-dimensional variables is critical across diverse scientific and industrial applications; however, existing approaches exhibit notable limitations in either modeling flexibility or…

Volatility, as a measure of uncertainty, plays a crucial role in numerous financial activities such as risk management. The Econometrics and Machine Learning communities have developed two distinct approaches for financial volatility…

This paper introduces a Bayesian vector autoregression (BVAR) with stochastic volatility-in-mean and time-varying skewness. Unlike previous approaches, the proposed model allows both volatility and skewness to directly affect macroeconomic…

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…

Vector autoregressive (VAR) models assume linearity between the endogenous variables and their lags. This assumption might be overly restrictive and could have a deleterious impact on forecasting accuracy. As a solution, we propose…

Recent financial disasters have emphasised the need to accurately predict extreme financial losses and their consequences for the institutions belonging to a given financial market. The ability of econometric models to predict extreme…

This paper proposes a semiparametric stochastic volatility (SV) model that relaxes the restrictive Gaussian assumption in both the return and volatility error terms, allowing them to follow flexible, nonparametric distributions with…

Orthogonal Generalized Autoregressive Conditional Heteroskedasticity model (OGARCH) is widely used in finance industry to produce volatility and correlation forecasts. We show that the classic OGARCH model, nevertheless, tends to be too…

This paper presents a comparative analysis of univariate and multivariate GARCH-family models and machine learning algorithms in modeling and forecasting the volatility of major energy commodities: crude oil, gasoline, heating oil, and…

Covariates provide valuable information on external factors that influence time series and are critical in many real-world time series forecasting tasks. For example, in retail, covariates may indicate promotions or peak dates such as…

This study addresses the computational challenges of forecasting volatility in high-dimensional commodity markets. Building on the Network log-ARCH framework, we introduce a novel class of network topologies from GARCH-informed correlation…

Accurate macroeconomic forecasting has become harder amid geopolitical disruptions, policy reversals, and volatile financial markets. Conventional vector autoregressions (VARs) overfit in high dimensional settings, while threshold VARs…

In this paper, a new way to integrate volatility information for estimating value at risk (VaR) and conditional value at risk (CVaR) of a portfolio is suggested. The new method is developed from the perspective of Bayesian statistics and it…

This paper provides an insight to the time-varying dynamics of the shape of the distribution of financial return series by proposing an exponential weighted moving average model that jointly estimates volatility, skewness and kurtosis over…

In this paper we investigate the impact of news to predict extreme financial returns using high frequency data. We consider several model specifications differing for the dynamic property of the underlying stochastic process as well as for…

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…