8 citations · 12 across the 5 of their papers we have counts for
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stat.ML2017★ 8 cited
Interpretable Vector AutoRegressions with Exogenous Time Series
Ines Wilms, Sumanta Basu, Jacob Bien +1
The Vector AutoRegressive (VAR) model is fundamental to the study of multivariate time series. Although VAR models are intensively investigated by many researchers, practitioners o…
q-fin.ST2017
Volatility Spillovers and Heavy Tails: A Large t-Vector AutoRegressive Approach
Luca Barbaglia, Christophe Croux, Ines Wilms
Volatility is a key measure of risk in financial analysis. The high volatility of one financial asset today could affect the volatility of another asset tomorrow. These lagged effe…