2 citations · 4 across the 4 of their papers we have counts for
4 papers
Hierarchical Representations for Evolving Acyclic Vector Autoregressions (HEAVe)
Cameron Cornell, Lewis Mitchell, Matthew Roughan
Causal networks offer an intuitive framework to understand influence structures within time series systems. However, the presence of cycles can obscure dynamic relationships and hi…
Enhancing Causal Discovery in Financial Networks with Piecewise Quantile Regression
Cameron Cornell, Lewis Mitchell, Matthew Roughan
Financial networks can be constructed using statistical dependencies found within the price series of speculative assets. Across the various methods used to infer these networks, t…
A probabilistic forecast methodology for volatile electricity prices in the Australian National Electricity Market
Cameron Cornell, Nam Trong Dinh, S. Ali Pourmousavi
The South Australia region of the Australian National Electricity Market (NEM) displays some of the highest levels of price volatility observed in modern electricity markets. This…
Vector Autoregression in Cryptocurrency Markets: Unraveling Complex Causal Networks
Cameron Cornell, Lewis Mitchell, Matthew Roughan
Methodologies to infer financial networks from the price series of speculative assets vary, however, they generally involve bivariate or multivariate predictive modelling to reveal…