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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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10/06/2022
A correlated pseudo-marginal approach to doubly intractable problems
Doubly intractable models are encountered in a number of fields, e.g. so...
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04/05/2021
Spectral Subsampling MCMC for Stationary Multivariate Time Series
Spectral subsampling MCMC was recently proposed to speed up Markov chain...
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10/13/2020
Variational Approximation of Factor Stochastic Volatility Models
Estimation and prediction in high dimensional multivariate factor stocha...
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06/26/2019
Time-evolving psychological processes over repeated decisions
Many psychological experiments have participants repeat a simple task. T...
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04/12/2018
