Large Skew-t Copula Models and Asymmetric Dependence in Intraday Equity Returns

no code implementations • 10 Aug 2023 • Lin Deng, Michael Stanley Smith, Worapree Maneesoonthorn

We show that the copula implicit in the skew-t distribution of Azzalini and Capitanio (2003) allows for a higher level of pairwise asymmetric dependence than two popular alternative skew-t copulas.

Variational Inference

Optimal probabilistic forecasts for risk management

no code implementations • 3 Mar 2023 • Yuru Sun, Worapree Maneesoonthorn, Ruben Loaiza-Maya, Gael M. Martin

This paper explores the implications of producing forecast distributions that are optimized according to scoring rules that are relevant to financial risk management.

Management

Natural Gradient Hybrid Variational Inference with Application to Deep Mixed Models

no code implementations • 27 Feb 2023 • Weiben Zhang, Michael Stanley Smith, Worapree Maneesoonthorn, Ruben Loaiza-Maya

We show that this is a well-defined natural gradient optimization algorithm for the joint posterior of $(\bm{z},\bm{\theta})$.

Stochastic Optimization Variational Inference

Bayesian Forecasting in Economics and Finance: A Modern Review

no code implementations • 7 Dec 2022 • Gael M. Martin, David T. Frazier, Worapree Maneesoonthorn, Ruben Loaiza-Maya, Florian Huber, Gary Koop, John Maheu, Didier Nibbering, Anastasios Panagiotelis

The Bayesian statistical paradigm provides a principled and coherent approach to probabilistic forecasting.