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09/05/2023
DeepVol: A Deep Transfer Learning Approach for Universal Asset Volatility Modeling
This paper introduces DeepVol, a promising new deep learning volatility ...
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01/23/2020
A Bayesian Long Short-Term Memory Model for Value at Risk and Expected Shortfall Joint Forecasting
Value-at-Risk (VaR) and Expected Shortfall (ES) are widely used in the f...
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09/28/2019
Demand forecasting in supply chain: The impact of demand volatility in the presence of promotion
The demand for a particular product or service is typically associated w...
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02/11/2019
Manifold Optimisation Assisted Gaussian Variational Approximation
Variational approximation methods are a way to approximate the posterior...
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02/09/2019
Bayesian Nonparametric Adaptive Spectral Density Estimation for Financial Time Series
Discrimination between non-stationarity and long-range dependency is a d...
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05/08/2018