5 citations · 8 across the 11 of their papers we have counts for
3 papers · 1 filter
Large Skew-t Copula Models and Asymmetric Dependence in Intraday Equity Returns
Lin Deng, Michael Stanley Smith, Worapree Maneesoonthorn
Skew-t copula models are attractive for the modeling of financial data because they allow for asymmetric and extreme tail dependence. We show that the copula implicit in the skew-t…
Optimal probabilistic forecasts for risk management
Yuru Sun, Worapree Maneesoonthorn, Ruben Loaiza-Maya +1
This paper explores the implications of producing forecast distributions that are optimized according to scoring rules that are relevant to financial risk management. We assess the…
Natural Gradient Hybrid Variational Inference with Application to Deep Mixed Models
Weiben Zhang, Michael Stanley Smith, Worapree Maneesoonthorn +1
Stochastic models with global parameters and latent variables are common, and for which variational inference (VI) is popular. However, existing methods are often either slow or in…