University of Konstanz
Reservoir computing, echo state networks, neural computing, time-delay reservoir, time series forecasting, universality, VEC-GARCH model, volatility forecasting, realized volatility, parallel reservoir computing
multivariate volatility modeling, dynamic conditional correlations (DCC), non-scalar DCC models, constrained optimization, Bregman divergences, Bregman-proximal trust-region method.
multivariate volatility modeling and forecasting, global stochastic trend, extended Kalman filter, CAPM, dynamic conditional correlations (DCC), non-synchronous data.
linear models, ARMA, temporal aggregation, forecasting, finite sample forecasting, flow temporal aggregation, stock temporal aggregation, multistep forecasting
linear models, ARMA, temporal aggregation, forecasting, finite sample forecasting, multifrequency forecasting, flow temporal aggregation, stock temporal aggregation, multistep forecasting, hybrid forecasting.
ridge regression, singular regression, training error, testing error, generalization error, regularization methods, high-dimensional regression
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