57 citations · 111 across the 16 of their papers we have counts for
20 papers
The Causal-Noncausal Tail Processes
Christian Gouriéroux, Yang Lu, Christian-Yann Robert
This paper considers one-dimensional mixed causal/noncausal autoregressive (MAR) processes with heavy tail, usually introduced to model trajectories with patterns including asymmet…
Forecasting with Markovian max-stable fields in space and time: An application to wind gust speeds
Ryan Cotsakis, Erwan Koch, Christian-Yann Robert
Hourly maxima of 3-second wind gust speeds are prominent indicators of the severity of wind storms, and accurately forecasting them is thus essential for populations, civil authori…
Fixed-domain asymptotic properties of maximum composite likelihood estimators for max-stable Brown-Resnick random fields
Nicolas Chenavier, Christian Y. Robert
Likelihood inference for max-stable random fields is in general impossible because their finite-dimen\-sional probability density functions are unknown or cannot be computed effici…
Multivariate Realized Volatility Forecasting with Graph Neural Network
Qinkai Chen, Christian-Yann Robert
The existing publications demonstrate that the limit order book data is useful in predicting short-term volatility in stock markets. Since stocks are not independent, changes on on…
Graph-Based Learning for Stock Movement Prediction with Textual and Relational Data
Qinkai Chen, Christian-Yann Robert
Predicting stock prices from textual information is a challenging task due to the uncertainty of the market and the difficulty understanding the natural language from a machine's p…
NEO: Non Equilibrium Sampling on the Orbit of a Deterministic Transform
Achille Thin, Yazid Janati, Sylvain Le Corff +5
Sampling from a complex distribution and approximating its intractable normalizing constant Z are challenging problems. In this paper, a novel family of importance samplers (IS…