Dynamic Covariance Models for Multivariate Financial Time Series

Dynamic Covariance Models for Multivariate Financial Time Series

18 May 2013

José Miguel Hernández-Lobato

Zoubin Ghahramani

Papers citing "Dynamic Covariance Models for Multivariate Financial Time Series"

7 / 7 papers shown

Title
DTAAD: Dual Tcn-Attention Networks for Anomaly Detection in Multivariate Time Series Data Ling Yu AI4TS 28 27 0 17 Feb 2023
Variational Heteroscedastic Volatility Model Zexuan Yin P. Barucca AI4TS 21 0 0 11 Apr 2022
Quantile-based fuzzy C-means clustering of multivariate time series: Robust techniques Ángel López-Oriona P. D’Urso J. A. Vilar B. Lafuente-Rego AI4TS 6 22 0 22 Sep 2021
TPLVM: Portfolio Construction by Student's $t$ -process Latent Variable Model Y. Uchiyama Kei Nakagawa 19 9 0 29 Jan 2020
A Memory-Network Based Solution for Multivariate Time-Series Forecasting Yen-Yu Chang Fan-Yun Sun Yueh-hua Wu Shou-De Lin AI4TS 15 68 0 06 Sep 2018
Hierarchical Attention-Based Recurrent Highway Networks for Time Series Prediction Yunzhe Tao Lin Ma Weizhong Zhang Jian-Dong Liu W. Liu Q. Du AI4TS 9 25 0 02 Jun 2018
Online data processing: comparison of Bayesian regularized particle filters R. Casarin Jean-Michel Marin 72 67 0 26 Jun 2008