Martin Magris, Alexandros Iosifidis
arXiv 5 Oct 2023 · Statistics — Machine Learning · 1 citations (OpenAlex)
arXiv:2310.03435 · PDF · DOI · OpenAlex · Extracted main text
The Bayesian estimation of GARCH-family models has been typically addressed through Monte Carlo sampling. Variational Inference is gaining popularity and attention as a robust approach for Bayesian inference in complex machine learning models; however, its adoption in econometrics and finance is limited. This paper discusses the extent to which Variational Inference constitutes a reliable and feasible alternative to Monte Carlo sampling for Bayesian inference in GARCH-like models. Through a large-scale experiment involving the constituents of the S&P 500 index, several Variational Inference optimizers, a variety of volatility models, and a case study, we show that Variational Inference is an attractive, remarkably well-calibrated, and competitive method for Bayesian learning.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Minh-Ngoc Tran, Dang H Nguyen, and Duy Nguyen (2021) Variational bayes on manifolds | 0.811 | 4 | 2 | 100% |
| 2 | David Ardia (2008) Financial Risk Management with Bayesian Estimation of GARCH Models Theory and Applications | 0.737 | 3 | 2 | 100% |
| 3 | Diederik P. Kingma and Max Welling (2013) Auto-encoding variational bayes, 2013 | 0.644 | 2 | 2 | 100% |
| 4 | Alp Kucukelbir, Dustin Tran, Rajesh Ranganath, Andrew Gelman, and Da… (2017) Automatic differentiation variational inference | 0.644 | 2 | 2 | 100% |
| 5 | Martin Magris, Mostafa Shabani, and Alexandros Iosifidis (2022) Exact manifold gaussian variational bayes, 2022a self | 0.644 | 2 | 2 | 100% |
| 6 | Martin Magris, Mostafa Shabani, and Alexandros Iosifidis (2022) Quasi black-box variational inference with natural gradients for bayesian learning, 2022b self | 0.644 | 2 | 2 | 100% |
| 7 | Martin Magris and Alexandros Iosifidis (2023) Bayesian learning for neural networks: an algorithmic survey self | 0.644 | 2 | 2 | 100% |
| 8 | Rajesh Ranganath, Sean Gerrish, and David Blei (2014) Black box variational inference | 0.644 | 2 | 2 | 100% |
| 9 | Richard T. Baillie, Tim Bollerslev, and Hans Ole Mikkelsen (1996) Fractionally integrated generalized autoregressive conditional heteroskedasticity | 0.585 | 3 | 1 | 100% |
| 10 | Timo Teräsvirta (2009) An introduction to univariate garch models | 0.585 | 3 | 1 | 100% |
Showing the top 10 of 28 scored citations.