JSTOR Daily

Buffered Autoregressive Models With Conditional Heteroscedasticity: An Application to Exchange Rates

This article introduces a new model called the buffered autoregressive model with generalized autoregressive conditional heteroscedasticity (BAR-GARCH). The proposed model, as an extension of the BAR ...
Risk

Range-based volatility forecasting: a multiplicative component conditional autoregressive range model

To capture the "long-memory" effect in volatility, a multiplicative component conditional autoregressive range (MCCARR) model is proposed. We show theoretically that the MCCARR model can capture the ...
JSTOR Daily

Hybrid quantile regression estimation for time series models with conditional heteroscedasticity

Journal of the Royal Statistical Society. Series B (Statistical Methodology), Vol. 80, No. 5 (2018), pp. 975-993 (19 pages) Estimating conditional quantiles of financial time series is essential for ...
Risk

Modeling overnight and daytime returns using a multivariate generalized autoregressive conditional heteroskedasticity copula model

We introduce a multivariate generalized autoregressive conditional heteroskedasticity (GARCH) copula model to describe joint dynamics of overnight and daytime returns for multiple assets. The ...
Simon Fraser University

PolyGen: An Autoregressive Generative Model of 3D Meshes

Polygonal meshes are widely used in computer graphics, robotics, and game development to represent virtual objects and scenes. Exisitng learning-based methods for 3D object generation have relied on ...
Drexel University

Epidemiology and Biostatistics Dissertation Defense: Guangzi Song

Guangzi Song, MS, will present "Estimation of the Informativeness of the Conditional Autoregressive Model Framework with Applications" The use of the conditional autoregressive (CAR) model framework ...