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Found 9 papers, 1 papers with code
Semi-parametric financial risk forecasting incorporating multiple realized measures
A semi-parametric joint Value-at-Risk (VaR) and Expected Shortfall (ES) forecasting framework employing multiple realized measures is developed.
DeepVol: A Pre-Trained Universal Asset Volatility Model
This paper introduces DeepVol, a pre-trained deep learning volatility model that is more general than traditional econometric models.
A Bayesian realized threshold measurement GARCH framework for financial tail risk forecasting
This paper proposes an innovative threshold measurement equation to be employed in a Realized-GARCH framework.
Tail risk forecasting using Bayesian realized EGARCH models
Rigorous tail risk forecast evaluations show that the realized EGARCH models employing the standardized skewed Student-t distribution and incorporating sub-sampled realized range are favored, compared to a range of models.
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 financial sector to measure the market risk and manage the extreme market movement.
Manifold Optimization Assisted Gaussian Variational Approximation
Gaussian variational approximation is a popular methodology to approximate posterior distributions in Bayesian inference especially in high dimensional and large data settings.
Bayesian Nonparametric Adaptive Spectral Density Estimation for Financial Time Series
Discrimination between non-stationarity and long-range dependency is a difficult and long-standing issue in modelling financial time series.
A Semi-parametric Realized Joint Value-at-Risk and Expected Shortfall Regression Framework
One-day-ahead VaR and ES forecasting results favor the proposed models, especially when incorporating the sub-sampled Realized Variance and the sub-sampled Realized Range in the model.
Fighting Accounting Fraud Through Forensic Data Analytics
Accounting fraud is a global concern representing a significant threat to the financial system stability due to the resulting diminishing of the market confidence and trust of regulatory authorities.
