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Don’t get fooled by integrated processes

In time-series analysis, you will frequently hear about the idea of integrated processes (e.g. I(1) or seasonal integration). The typical approach is differencing of your time-series in order to de-integrate it and make it stationary.

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Let’s make GARCH more flexible with Normalizing Flows

For financial time-series data, GARCH (Generalized AutoRegressive Conditional Heteroscedasticity) models play an important role. While forecasting mean returns is usually futile, stock volatility appears to be predictable, at least to some extent. However, standard GARCH

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