Tokyo
Japan
Melbourne
Australia
The Institute of Statistical Mathematics
ResilientML
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in Total Papers Downloads
Forward Premium Puzzle, Speculative Trading Volumes, Multivariate Tail Dependence, Mixture Copula Models, Currency Carry Trade, Covariance Regressions
Crude oil futures, Theory of storage, Theory of normal backwardation, Hedging pressure, Futures Term structure
Covariance Forecasting, Currency Carry Trade, Covariance Regression, Markowitz Portfolio, Equal Risk Contribution
Covariance Forecasting, Currency Carry Trade, Covariance Regression, Generalised Multi-Factor Model, Portfolio Optimisation
Currency carry trade, Multivariate tail dependence, Forward premium puzzle, Mixture copula models, Generalized Archimedean copula, Extreme value copula
MIDAS; Transformer; multi-scale resolution data; sentiment modelling; natural language processing; Gegenbauer long memory
Currency carry trade, Multivariate tail dependence, Forward premium puzzle, Mixture models, Generalized Archimedean copula
Time Series Analysis, Empirical Mode Decomposition, Fourier Analysis, Wavelet Analysis, Independent Component Analysis, X11, Non-Stationary, Graduation, Signal Decomposition
Empirical Mode Decomposition (EMD), Statistical EMD (SEMD), Enhanced EMD (EEMD), Ensemble EMD, Hilbert transform, time series analysis, filtering, graduation, Winsorization, downsampling, splines, knot optimisation, Python, R, MATLAB
Crop yields, crop insurance pricing, SARIMA, Gaussian process
Crude oil, Short-term factor, Long-term factor, Hybrid Multi-Factor model, Macroeconomical factors, Term structure
