2 papers
stat.ML2025
Conditionally Whitened Generative Models for Probabilistic Time Series Forecasting
Yanfeng Yang, Siwei Chen, Pingping Hu +6
Probabilistic forecasting of multivariate time series is challenging due to non-stationarity, inter-variable dependencies, and distribution shifts. While recent diffusion and flow…
q-fin.CP2024
Deep Generative Modeling for Financial Time Series with Application in VaR: A Comparative Review
Lars Ericson, Xuejun Zhu, Xusi Han +4
In the financial services industry, forecasting the risk factor distribution conditional on the history and the current market environment is the key to market risk modeling in gen…