293 citations · 487 across the 20 of their papers we have counts for
Showing 2018 · cs.CEShow all
2 papers · 2 filters
cs.CE2018
Applications of Gaussian Process Latent Variable Models in Finance
Rajbir-Singh Nirwan, Nils Bertschinger
Estimating covariances between financial assets plays an important role in risk management. In practice, when the sample size is small compared to the number of variables, the empi…
cs.CE2018★ 2 cited
Reality-check for Econophysics: Likelihood-based fitting of physics-inspired market models to empirical data
Nils Bertschinger, Iurii Mozzhorin, Sitabhra Sinha
The statistical description and modeling of volatility plays a prominent role in econometrics, risk management and finance. GARCH and stochastic volatility models have been extensi…