TiRex-2 is a recurrent xLSTM time series foundation model for multivariate forecasting with future covariates and constant-cost streaming that reports SOTA zero-shot results on GIFT-Eval and fev-bench.
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Extends rough fractional stochastic volatility to a multivariate fOU model with GMM estimation, simulation validation, and empirical analysis of realized volatility series showing correlations and spillover effects.
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TiRex-2: Generalizing TiRex to Multivariate Data and Streaming
TiRex-2 is a recurrent xLSTM time series foundation model for multivariate forecasting with future covariates and constant-cost streaming that reports SOTA zero-shot results on GIFT-Eval and fev-bench.
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Multivariate Rough Volatility
Extends rough fractional stochastic volatility to a multivariate fOU model with GMM estimation, simulation validation, and empirical analysis of realized volatility series showing correlations and spillover effects.