Lyudmila Grigoryeva

University of Konstanz

Assistant Professor

Fach D-144

Universitätsstraße 10

Konstanz, D-78457

Germany

SCHOLARLY PAPERS

6

DOWNLOADS

687

SSRN CITATIONS

3

CROSSREF CITATIONS

0

Scholarly Papers (6)

1.

Stochastic Nonlinear Time Series Forecasting Using Time-Delay Reservoir Computers: Performance and Universality

Neural Networks, 55C, 59-71 (2014)
Number of pages: 24 Posted: 06 Nov 2013 Last Revised: 13 May 2014
University of Konstanz, Tea-Cegos Deployment, University of Burgundy Franche-Comté and Centre National de la Recherche Scientifique (CNRS)Nanyang Technological University
Downloads 295 (130,622)

Abstract:

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Reservoir computing, echo state networks, neural computing, time-delay reservoir, time series forecasting, universality, VEC-GARCH model, volatility forecasting, realized volatility, parallel reservoir computing

2.

Estimation and Empirical Performance of Non-Scalar Dynamic Conditional Correlation Models

Forthcoming in Computational Statistics and Data Analysis
Number of pages: 68 Posted: 11 Mar 2014 Last Revised: 21 Feb 2015
Luc Bauwens, Lyudmila Grigoryeva, Juan-Pablo Ortega and Juan-Pablo Ortega
Université catholique de Louvain, University of Konstanz and Centre National de la Recherche Scientifique (CNRS)Nanyang Technological University
Downloads 115 (299,554)
Citation 1

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multivariate volatility modeling, dynamic conditional correlations (DCC), non-scalar DCC models, constrained optimization, Bregman divergences, Bregman-proximal trust-region method.

3.

Volatility Forecasting Using Global Stochastic Financial Trends Extracted from Non-Synchronous Data

Number of pages: 36 Posted: 14 May 2015 Last Revised: 08 Aug 2017
University of Konstanz, Centre National de la Recherche Scientifique (CNRS)Nanyang Technological University and National Research University Higher School of Economics
Downloads 109 (311,035)
Citation 1

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multivariate volatility modeling and forecasting, global stochastic trend, extended Kalman filter, CAPM, dynamic conditional correlations (DCC), non-synchronous data.

4.

Hybrid Forecasting with Estimated Temporally Aggregated Linear Processes

Forthcoming, Journal of Forecasting, To appear in the Journal of Forecasting
Number of pages: 20 Posted: 19 Sep 2012 Last Revised: 02 Jun 2014
Lyudmila Grigoryeva, Juan-Pablo Ortega and Juan-Pablo Ortega
University of Konstanz and Centre National de la Recherche Scientifique (CNRS)Nanyang Technological University
Downloads 98 (333,869)

Abstract:

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linear models, ARMA, temporal aggregation, forecasting, finite sample forecasting, flow temporal aggregation, stock temporal aggregation, multistep forecasting

5.

Asymptotic Forecasting Error Evaluation for Estimated Temporally Aggregated Linear Processes

International Journal of Computational Economics and Econometrics, Forthcoming
Number of pages: 25 Posted: 15 May 2014 Last Revised: 31 Jul 2014
Lyudmila Grigoryeva, Juan-Pablo Ortega and Juan-Pablo Ortega
University of Konstanz and Centre National de la Recherche Scientifique (CNRS)Nanyang Technological University
Downloads 60 (441,565)

Abstract:

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linear models, ARMA, temporal aggregation, forecasting, finite sample forecasting, multifrequency forecasting, flow temporal aggregation, stock temporal aggregation, multistep forecasting, hybrid forecasting.

6.

Singular Ridge Regression with Homoscedastic Residuals: Generalization Error with Estimated Parameters

Number of pages: 24 Posted: 13 Jul 2017
Lyudmila Grigoryeva, Juan-Pablo Ortega and Juan-Pablo Ortega
University of Konstanz and Centre National de la Recherche Scientifique (CNRS)Nanyang Technological University
Downloads 10 (717,945)

Abstract:

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ridge regression, singular regression, training error, testing error, generalization error, regularization methods, high-dimensional regression