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stat.ML2026
ReSGA: A Large Tail Risk Model for Learning Value-at-Risk and Expected Shortfall
Yichi Zhang, Ke Zhu, Zhoufan Zhu
Learning Value-at-Risk (VaR) and Expected Shortfall (ES) is important for managing financial risks effectively. Existing approaches with limited parameters are vulnerable to model…
stat.ML2023
Robust Detection of Lead-Lag Relationships in Lagged Multi-Factor Models
Yichi Zhang, Mihai Cucuringu, Alexander Y. Shestopaloff +1
In multivariate time series systems, key insights can be obtained by discovering lead-lag relationships inherent in the data, which refer to the dependence between two time series…