Research
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arXiv research

A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.

168,742 papers · 148 categories

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0.3%0.5%0.8%0.1% · Sep 202319922001200920172026
2 results for “FAVAR”
Time-varying Factor Augmented Vector Autoregression with Grouped Sparse Autoencoderstat.ML

Enhances FAVAR models with autoencoder for better economic forecasting and interpretability.

problem Limitations of linear FAVAR models in forecasting and structural analysis.
method Introduces Grouped Sparse autoencoder with time-varying parameters.
result The Grouped Sparse autoencoder produces more interpretable factors and superior forecasting performance.
FAVARautoencodersparsetime-varyingeconomic forecasting
2025-03-06abs ↗pdf ↗
Non-linear dimension reduction in factor-augmented vector autoregressionsecon.EM

Paper uses non-linear dimension reduction for better economic forecasting.

problem Analyzing economic effects of shocks in large datasets.
method Non-linear dimension reduction in factor-augmented vector autoregressions.
result Non-linear dimension reduction techniques improve forecasting, especially in volatile data.
economic forecastingdimension reductionvector autoregressionslatent factorseconomic shocks
2023-09-09abs ↗pdf ↗