4 papers
Geometric Regime--Switching Diffusions on Stratified Riemannian Spaces with an Application to Covariance Matrices
Leonardo Marconi, Matteo Farnè, Alexander Aue
We construct geometric regime-switching diffusions, a class of Markov processes on locally compact stratified Riemannian state spaces. In contrast with classical regime-switching a…
An operator-level ARCH Model
Alexander Aue, Sebastian Kühnert, Gregory Rice +1
AutoRegressive Conditional Heteroscedasticity (ARCH) models are standard for modeling time series exhibiting volatility, with a rich literature in univariate and multivariate setti…
Bitcoin Forecasting with Classical Time Series Models on Prices and Volatility
Anmar Kareem, Alexander Aue
This paper evaluates the performance of classical time series models in forecasting Bitcoin prices, focusing on ARIMA, SARIMA, GARCH, and EGARCH. Daily price data from 2010 to 2020…
Estimating invertible processes in Hilbert spaces, with applications to functional ARMA processes
Sebastian Kühnert, Gregory Rice, Alexander Aue
Invertible processes are central to functional time series analysis, making the estimation of their defining operators a key problem. While asymptotic error bounds have been establ…