3 papers
cs.LG2022
ARMA Cell: A Modular and Effective Approach for Neural Autoregressive Modeling
Philipp Schiele, Christoph Berninger, David Rügamer
The autoregressive moving average (ARMA) model is a classical, and arguably one of the most studied approaches to model time series data. It has compelling theoretical properties a…
q-fin.MF2020
The Gauss2++ Model -- A Comparison of Different Measure Change Specifications for a Consistent Risk Neutral and Real World Calibration
Christoph Berninger, Julian Pfeiffer
Especially in the insurance industry interest rate models play a crucial role e.g. to calculate the insurance company's liabilities, performance scenarios or risk measures. A promi…
stat.ME2020
A Bayesian Time-Varying Autoregressive Model for Improved Short- and Long-Term Prediction
Christoph Berninger, Almond Stöcker, David Rügamer
Motivated by the application to German interest rates, we propose a timevarying autoregressive model for short and long term prediction of time series that exhibit a temporary non-…