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stat.CO2023
Stochastic Variational Inference for GARCH Models
Hanwen Xuan, Luca Maestrini, Feng Chen +1
Stochastic variational inference algorithms are derived for fitting various heteroskedastic time series models. We examine Gaussian, t, and skew-t response GARCH models and fit the…
stat.AP2023
An application of copulas to OPEC's changing influence on fossil fuel prices
Clara Grazian, Alex McInnes
This work examines how the dependence structures between energy futures asset prices differ in two periods identified before and after the 2008 global financial crisis. These two p…
stat.ME2023★ 1 cited
Skew-Normal Posterior Approximations
Jackson Zhou, Clara Grazian, John Ormerod
Many approximate Bayesian inference methods assume a particular parametric form for approximating the posterior distribution. A multivariate Gaussian distribution provides a conven…