Publications

Connecting the Dots: Is Mode-Connectedness the Key to Feasible Sample-Based Inference in Bayesian Neural Networks?

• Authors: Emanuel Sommer*, Lisa Wimmer*, Theodore Papamarkou, Ludwig Bothmann, Bernd Bischl, David Rügamer
• Paper @ ICML 2024
• Bayesian Neural Networks | Sampling based Inference | MCMC | Uncertainty Quantification

Vine Copula based Portfolio Level Conditional Risk Measure Forecasting

• Authors: Emanuel Sommer, Karoline Bax, Claudia Czado
• Paper accepted in August 2023 @ Econometrics and Statistics
• Dependence Modeling | Vine Copulas | Portfolio Risk Estimation | Stress Testing | Time Series

* Equal contribution

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Software

{portvine}

Package for the portfolio level unconditional as well as conditional risk measure estimation for backtesting and stress testing using Vine Copula and ARMA-GARCH models.

CRAN | GitHub | Documentation