3 papers
stat.ML2026
Adaptive Multi-Scale Forecasting and Gate-Localized Conformal Prediction for Multivariate Nonstationary Time Series
Ziling Ma, Junshu Jiang, Ãngel López-Oriona +2
We propose ABF-T-GLCP, a model-agnostic framework for forecasting and uncertainty quantification in nonstationary multivariate time series. The central idea is to learn an adaptive…
stat.ME2026
Separation-based causal discovery for extremes
Junshu Jiang, Jordan Richards, Raphaël Huser +1
Structural causal models (SCMs), with an underlying directed acyclic graph (DAG), provide a powerful analytical framework to describe the interaction mechanisms in large-scale comp…
q-fin.ST2025
The Efficient Tail Hypothesis: An Extreme Value Perspective on Market Efficiency
Junshu Jiang, Jordan Richards, Raphaël Huser +1
In econometrics, the Efficient Market Hypothesis posits that asset prices reflect all available information in the market. Several empirical investigations show that market efficie…