9 citations · 25 across the 9 of their papers we have counts for
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q-fin.MF2017
Non-Euclidean Conditional Expectation and Filtering
Anastasis Kratsios, Cody B. Hyndman
A non-Euclidean generalization of conditional expectation is introduced and characterized as the minimizer of expected intrinsic squared-distance from a manifold-valued target. The…
q-fin.MF2017★ 7 cited
Deep Learning in a Generalized HJM-type Framework Through Arbitrage-Free Regularization
Anastasis Kratsios, Cody B. Hyndman
We introduce a regularization approach to arbitrage-free factor-model selection. The considered model selection problem seeks to learn the closest arbitrage-free HJM-type model to…