30 citations · 30 across the 1 of their papers we have counts for
2 papers
stat.ME2014★ 30 cited
Gaussian Process Volatility Model
Yue Wu, Jose Miguel Hernandez Lobato, Zoubin Ghahramani
The accurate prediction of time-changing variances is an important task in the modeling of financial data. Standard econometric models are often limited as they assume rigid functi…
stat.ME2013
Dynamic Covariance Models for Multivariate Financial Time Series
Yue Wu, José Miguel Hernández-Lobato, Zoubin Ghahramani
The accurate prediction of time-changing covariances is an important problem in the modeling of multivariate financial data. However, some of the most popular models suffer from a)…