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High-Dimensional Sparse Multivariate Stochastic Volatility Models
Although multivariate stochastic volatility models usually produce more accurate forecasts compared to the MGARCH models, their estimation techniques such as Bayesian MCMC typically suffer from the curse of dimensionality.
Modeling Text using the Continuous Space Topic Model with Pre-Trained Word Embeddings
In this study, we propose a model that extends the continuous space topic model (CSTM), which flexibly controls word probability in a document, using pre-trained word embeddings.
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