:: Library Catalog

Imaxe de Portada

Gardado en:

Detalles Bibliográficos
Main Authors:	Meng, Xiaochun, Taylor, James W., Taieb, Souhaib Ben, Li, Siran
Formato:	Preprint
Publicado:	2020
Subjects:	Statistics Theory Statistical Finance Methodology
Acceso en liña:	https://arxiv.org/abs/2002.09578
Tags:	Engadir etiqueta Sen Etiquetas, Sexa o primeiro en etiquetar este rexistro!

Títulos similares

Centered-Innovation MA for Bayesian Dirichlet ARMA: Theoretical Equivalence and an Application to Bank-Asset Shares
por: Katz, Harrison
Publicado: (2025)

When Frictions are Fractional: Rough Noise in High-Frequency Data
por: Chong, Carsten H., et al.
Publicado: (2021)

Short-time expansion of characteristic functions in a rough volatility setting with applications
por: Chong, Carsten H., et al.
Publicado: (2022)

Ledoit-Wolf linear shrinkage with unknown mean
por: Oriol, Benoit, et al.
Publicado: (2023)

Fitting an Equation to Data Impartially
por: Tofallis, Chris
Publicado: (2024)

When can weak latent factors be statistically inferred?
por: Fan, Jianqing, et al.
Publicado: (2024)

Quantile Predictions for Equity Premium using Penalized Quantile Regression with Consistent Variable Selection across Multiple Quantiles
por: Li, Shaobo, et al.
Publicado: (2025)

A Note on the Asymptotic Properties of the GLS Estimator in Multivariate Regression with Heteroskedastic and Autocorrelated Errors
por: Moriya, Koichiro, et al.
Publicado: (2025)

Asymptotic and finite-sample distributions of one- and two-sample empirical relative entropy, with application to change-point detection
por: Garcin, Matthieu, et al.
Publicado: (2025)

Testing by Betting while Borrowing and Bargaining
por: Wang, Hongjian, et al.
Publicado: (2024)

Quantile-Frequency Analysis and Spectral Measures for Diagnostic Checks of Time Series With Nonlinear Dynamics
por: Li, Ta-Hsin
Publicado: (2019)

Distribution-on-Distribution Regression with Wasserstein Metric: Multivariate Gaussian Case
por: Okano, Ryo, et al.
Publicado: (2023)

Change-point estimation for Weibull time series with copula-based Markov models
por: Sun, Li-Hsien, et al.
Publicado: (2026)

Proper Scoring Rules for Multivariate Probabilistic Forecasts based on Aggregation and Transformation
por: Pic, Romain, et al.
Publicado: (2024)

Self and mutually exciting point process embedding flexible residuals and intensity with discretely Markovian dynamics
por: Lee, Kyungsub
Publicado: (2024)

Institutional Differences, Crisis Shocks, and Volatility Structure: A By-Window EGARCH/TGARCH Analysis of ASEAN Stock Markets
por: Yang, Junlin
Publicado: (2025)

Modeling Dynamic Correlation Matrices with Shrinkage Priors
por: Coulson, Daniel Andrew, et al.
Publicado: (2026)

Modelling financial returns with mixtures of generalized normal distributions
por: Duttilo, Pierdomenico
Publicado: (2024)

Zero-Inflated Autoregressive Conditional Duration Model for Discrete Trade Durations with Excessive Zeros
por: Blasques, Francisco, et al.
Publicado: (2018)

Hidden Markov graphical models with state-dependent generalized hyperbolic distributions
por: Foroni, Beatrice, et al.
Publicado: (2024)

Crossing penalised CAViaR
por: Szendrei, Tibor
Publicado: (2025)

Multivariate Matérn Models -- A Spectral Approach
por: Yarger, Drew, et al.
Publicado: (2023)

Multi-regime Markov-switching models with time-varying transition probabilities: An application to U.S. Treasury yields
por: Modée, Samuel, et al.
Publicado: (2026)

Multivariate Inference of Network Moments by Subsampling
por: Qi, Mingyu, et al.
Publicado: (2024)

Enhanced Local Explainability and Trust Scores with Random Forest Proximities
por: Rosaler, Joshua, et al.
Publicado: (2023)

Bayesian CART models for aggregate claim modeling
por: Zhang, Yaojun, et al.
Publicado: (2024)

Stochastic Subspace via Probabilistic Principal Component Analysis for Characterizing Model Error
por: Yadav, Akash, et al.
Publicado: (2025)

Probabilistic Predictions of Option Prices with Modular Approximate Bayesian Inference
por: Maneesoonthorn, Worapree, et al.
Publicado: (2024)

Bayesian Testing Of Granger Causality In Functional Time Series
por: Sen, Rituparna, et al.
Publicado: (2021)

A Dynamic Spatiotemporal and Network ARCH Model with Common Factors
por: Doğan, Osman, et al.
Publicado: (2024)

Holistic Multi-Scale Inference of the Leverage Effect: Efficiency under Dependent Microstructure Noise
por: Xiong, Ziyang, et al.
Publicado: (2025)

Bayesian Analysis of High Dimensional Vector Error Correction Model
por: Yang, Parley R, et al.
Publicado: (2023)

Change point detection in dynamic Gaussian graphical models: the impact of COVID-19 pandemic on the US stock market
por: Franzolini, Beatrice, et al.
Publicado: (2022)

Kernel Three Pass Regression Filter
por: Jat, Rajveer, et al.
Publicado: (2024)

Directional-Shift Dirichlet ARMA Models for Compositional Time Series with Structural Break Intervention
por: Katz, Harrison
Publicado: (2026)

Supervised Dynamic PCA: Linear Dynamic Forecasting with Many Predictors
por: Gao, Zhaoxing, et al.
Publicado: (2023)

Estimating Signal-to-Noise Ratios for Multivariate High-dimensional Linear Models
por: Hu, Xiaohan, et al.
Publicado: (2025)

Multivariate Species Sampling Models
por: Franzolini, Beatrice, et al.
Publicado: (2025)

Rectifying Conformity Scores for Better Conditional Coverage
por: Plassier, Vincent, et al.
Publicado: (2025)

Highly Multivariate Large-scale Spatial Stochastic Processes -- A Cross-Markov Random Field Approach
por: Chen, Xiaoqing, et al.
Publicado: (2024)