New Paper: Distributed ARIMA Models for Ultra-long Time Series

Authors:  Xiaoqian Wang, Yanfei Kang, Rob J Hyndman and Feng Li Providing forecasts for ultra-long time series plays a vital role in various activities, such as investment decisions, industrial production arrangements, and farm management. This paper develops a novel distributed forecasting framework to tackle challenges associated with forecasting ultra-long time series by utilizing the industry-standard MapReduce… Continue reading New Paper: Distributed ARIMA Models for Ultra-long Time Series

Published
Categorized as Paper

Paper: Credit Risk Clustering with Covariate-dependent Copula Models

with Zhuojing He from Business School, Central University of Finance and Economics. Abstract Understanding how corporate defaults cluster is particularly important for risk management of portfolios of corporate debt. In this paper, we discuss the dynamic nature of the clustering of credit risk across firms pairwise in the same family corporation in China. We insert… Continue reading Paper: Credit Risk Clustering with Covariate-dependent Copula Models

Published
Categorized as Paper