8 citations · 18 across the 12 of their papers we have counts for
Showing 2016 · stat.APShow all
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stat.AP2016
Lasso-based forecast combinations for forecasting realized variances
Ines Wilms, Jeroen Rombouts, Christophe Croux
Volatility forecasts are key inputs in financial analysis. While lasso based forecasts have shown to perform well in many applications, their use to obtain volatility forecasts has…
stat.AP2016
Multi-class Vector AutoRegressive Models for Multi-store Sales Data
Ines Wilms, Luca Barbaglia, Christophe Croux
Retailers use the Vector AutoRegressive (VAR) model as a standard tool to estimate the effects of prices, promotions and sales in one product category on the sales of another produ…