4 papers
Network Time Series Models for Multivariate Volatility Forecasting
Chiara Boetti, Matthew A. Nunes
Realized volatility has become a standard tool for measuring latent variation in financial assets, and its forecasting is crucial for a wide range of financial applications. We pro…
Network Estimation for Stationary Time Series
Madeline A. Shelley, Chiara Boetti, Marina I. Knight +1
High-dimensional multivariate time series are common in many scientific and industrial applications, where the interest lies in identifying key dependence structure within the data…
Long memory network time series
Chiara Boetti, Matthew A. Nunes, Marina I. Knight
Many scientific areas, from computer science to the environmental sciences and finance, give rise to multivariate time series which exhibit long memory, or loosely put, a slow deca…
Filtering coupled Wright-Fisher diffusions
Chiara Boetti, Matteo Ruggiero
Coupled Wright-Fisher diffusions have been recently introduced to model the temporal evolution of finitely-many allele frequencies at several loci. These are vectors of multidimens…