相关论文: GNAR-HARX Models for Realised Volatility: Incorpor…

Graph Networks (GNs) enable the fusion of prior knowledge and relational reasoning with flexible function approximations. In this work, a general GN-based model is proposed which takes full advantage of the relational modeling capabilities…

Time series models aim for accurate predictions of the future given the past, where the forecasts are used for important downstream tasks like business decision making. In practice, deep learning based time series models come in many forms,…

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…

We propose a hybrid forecast model based on discrete grey-fuzzy Markov and grey neural network model and show that our hybrid model can improve much more the performance of forecast than traditional grey-Markov model and neural network…

Motivated by the proliferation of extensive macroeconomic and health datasets necessitating accurate forecasts, a novel approach is introduced to address Vector Autoregressive (VAR) models. This approach employs the global-local…

This paper provides a unique approach with AI algorithms to predict emerging stock markets volatility. Traditionally, stock volatility is derived from historical volatility,Monte Carlo simulation and implied volatility as well. In this…

Wireless x-haul networks rely on microwave and millimeter-wave links between 4G and/or 5G base-stations to support ultra-high data rate and ultra-low latency. A major challenge associated with these high frequency links is their…

GARCH-type time series (characterized by Generalized Autoregressive Conditional Heteroskedasticity) exhibit pronounced volatility, autocorrelation, and heteroskedasticity. To address these challenges and enhance predictive accuracy, this…

Graphs have become a crucial way to represent large, complex and often temporal datasets across a wide range of scientific disciplines. However, when graphs are used as input to machine learning models, this rich temporal information is…

Dependable service-oriented computing relies on multiple Quality of Service (QoS) parameters that are essential to assess service optimality. However, real-world QoS data are extremely sparse, noisy, and shaped by hierarchical dependencies…

Many economic environments involve units linked by a network. I develop an econometric framework that derives the dynamics of cross-sectional variables from the lagged innovation transmission along bilateral links and that can accommodate…

VOLARE (VOLatility Archive for Realized Estimates - https://volare.unime.it) is an open research infrastructure providing standardized realized volatility and covariance measures constructed from ultra-high-frequency financial data. The…

This paper introduces a unique and valuable research design aimed at analyzing Bitcoin price volatility. To achieve this, a range of models from the Markov Switching-GARCH and Stochastic Autoregressive Volatility (SARV) model classes are…

This research incorporates realized volatility and overnight information into risk models, wherein the overnight return often contributes significantly to the total return volatility. Extending a semi-parametric regression model based on…

This study proposes a novel portfolio optimization framework that integrates statistical social network analysis with time series forecasting and risk management. Using daily stock data from the S&P 500 (2020-2024), we construct dependency…

In extracting time series data from various sources, it is inevitable to compile variables measured at varying frequencies as this is often dependent on the source. Modeling from these data can be facilitated by aggregating high frequency…

We consider distributed estimation of the inverse covariance matrix, also called the concentration or precision matrix, in Gaussian graphical models. Traditional centralized estimation often requires global inference of the covariance…

For quantitative trading risk management purposes, we present a novel idea: the realized local volatility surface. Concisely, it stands for the conditional expected volatility when sudden market behaviors of the underlying occur. One is…

Accurate volatility forecasting is essential in banking, investment, and risk management, because expectations about future market movements directly influence current decisions. This study proposes a hybrid modelling framework that…

Time series forecasting is essential in various domains. Compared to relying solely on endogenous variables (i.e., target variables), considering exogenous variables (i.e., covariates) provides additional predictive information and often…