22 citations · 42 across the 20 of their papers we have counts for
3 papers · 1 filter
Some recent trends in embeddings of time series and dynamic networks
Dag Tjøstheim, Martin Jullum, Anders Løland
We give a review of some recent developments in embeddings of time series and dynamic networks. We start out with traditional principal components and then look at extensions to dy…
Exabel's Factor Model
Øyvind Grotmol, Michael Scheuerer, Kjersti Aas +1
Factor models have become a common and valued tool for understanding the risks associated with an investing strategy. In this report we describe Exabel's factor model, we quantify…
Performance evaluation of volatility estimation methods for Exabel
Øyvind Grotmol, Martin Jullum, Kjersti Aas +1
Quantifying both historic and future volatility is key in portfolio risk management. This note presents and compares estimation strategies for volatility estimation in an estimatio…