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Concept

Autoregressive conditional heteroskedasticity

Related publications (12)

Optimizing Sales Forecasting, Inventory, Pricing and Sourcing Decisions

Yara Kayyali El Alem

In this thesis we address various factors that contribute both theoretically and practically to mitigating supply demand mismatches. The thesis is composed of three chapters, where each chapter is an independent scientific paper. In the first paper, we dev ...

EPFL2023

Quantifying uncertain system outputs via the multi-level Monte Carlo method --- distribution and robustness measures

Fabio Nobile, Sebastian Krumscheid, Sundar Subramaniam Ganesh, Quentin Olivier Martin Ayoul--Guilmard

In this work, we consider the problem of estimating the probability distribution, the quantile or the conditional expectation above the quantile, the so called conditional-value-at-risk, of output quantities of complex random differential models by the MLM ...

2023

Polynomial models in finance

Damien Edouard Ackerer

This thesis presents new flexible dynamic stochastic models for the evolution of market prices and new methods for the valuation of derivatives. These models and methods build on the recently characterized class of polynomial jump-diffusion processes for w ...

EPFL2017

Simultaneous estimation of phase derivative and phase using parallel Kalman filter implementation

Pramod Rastogi, Rishikesh Dilip Kulkarni

This paper proposes a technique for the simultaneous estimation of interference phase derivative and phase from a complex interferogram recorded in an optical interferometric setup. The complex interferogram is represented as a spatially varying autoregres ...

IOP Publishing2016

A Unified Formulation of Gaussian Versus Sparse Stochastic Processes-Part II: Discrete-Domain Theory

Michaël Unser, Pouya Dehghani Tafti, Hagay Kirshner, Arash Amini

This paper is devoted to the characterization of an extended family of continuous-time autoregressive moving average (CARMA) processes that are solutions of stochastic differential equations driven by white Levy innovations. These are completely specified ...

Ieee-Inst Electrical Electronics Engineers Inc2014

On the Unique Identification of Continuous-Time Autoregressive Models From Sampled Data

Michaël Unser, John Paul Ward, Hagay Kirshner

In this work, we investigate the relationship between continuous-time autoregressive (AR) models and their sampled version. We consider uniform sampling and derive criteria for uniquely determining the continuous-time parameters from sampled data; the mode ...

Ieee-Inst Electrical Electronics Engineers Inc2014

On the Linearity of Bayesian Interpolators for Non-Gaussian Continuous-Time AR(1) Processes

Michaël Unser, Philippe Thévenaz, John Paul Ward, Arash Amini

Bayesian estimation problems involving Gaussian distributions often result in linear estimation techniques. Nevertheless, there are no general statements as to whether the linearity of the Bayesian estimator is restricted to the Gaussian case. The two comm ...

Ieee-Inst Electrical Electronics Engineers Inc2013

Robust Value at Risk Prediction

Loriano Mancini

This paper proposes a robust semiparametric bootstrap method to estimate predictive distributions of GARCH-type models. The method is based on a robust estimation of parametric GARCH models and a robustified resampling scheme for GARCH residuals that contr ...

Oxford University Press2011

Robust Multivariate and Nonlinear Time Series Models

Time series modeling and analysis is central to most financial and econometric data modeling. With increased globalization in trade, commerce and finance, national variables like gross domestic productivity (GDP) and unemployment rate, market variables lik ...

EPFL2010

A GARCH Option Pricing Model with Filtered Historical Simulation

Loriano Mancini

We propose a new method for pricing options based on GARCH models with filtered historical innovations. In an incomplete market framework, we allow for different distributions of historical and pricing return dynamics enhancing the model flexibility to fit ...

2008

Bayesian risk analysis of financial time series

Christophe Osinski

This thesis is a contribution to financial statistics. One of the principal concerns of investors is the evaluation of portfolio risk. The notion of risk is vague, but in finance it is always linked to possible losses. In this thesis, we present some measu ...

EPFL2006

Optimal Conditionally Unbiased Bounded-Influence Inference in Dynamic Location and Scale Models

Loriano Mancini

This paper studies the local robustness of estimators and tests for the conditional location and scale parameters in a strictly stationary time series model. We first derive optimal bounded-influence estimators for such settings under a conditionally Gauss ...

2005