Fabio Sigrist
Fabio Sigrist
Verified email at hslu.ch
Title
Cited by
Cited by
Year
The impact of sentiment and attention measures on stock market volatility
F Audrino, F Sigrist, D Ballinari
International Journal of Forecasting 36 (2), 334-357, 2020
852020
A dynamic nonstationary spatio-temporal model for short term prediction of precipitation
F Sigrist, HR Künsch, WA Stahel
The Annals of Applied Statistics, 1452-1477, 2012
812012
Stochastic partial differential equation based modelling of large space–time data sets
F Sigrist, HR Künsch, WA Stahel
Journal of the Royal Statistical Society: Series B (Statistical Methodology), 2015
632015
Using the censored gamma distribution for modeling fractional response variables with an application to loss given default
F Sigrist, WA Stahel
ASTIN Bulletin 41 (2), 673-710, 2011
392011
Grabit: Gradient Tree Boosted Tobit Models for Default Prediction
F Sigrist, C Hirnschall
Journal of Banking & Finance, 2019
332019
spate: An R package for spatio-temporal modeling with a stochastic advection-diffusion process
F Sigrist, HR Künsch, WA Stahel
Journal of Statistical Software 63 (14), 1-23, 2015
20*2015
Gradient and newton boosting for classification and regression
F Sigrist
Expert Systems With Applications 167, 114080, 2021
192021
Maximum likelihood estimation of spatially varying coefficient models for large data with an application to real estate price prediction
JA Dambon, F Sigrist, R Furrer
Spatial Statistics 41, 100470, 2021
102021
An autoregressive spatio-temporal precipitation model
F Sigrist, HR Künsch, WA Stahel
Procedia Environmental Sciences 3, 2-7, 2011
82011
KTBoost: Combined kernel and tree boosting
F Sigrist
Neural Processing Letters 53 (2), 1147-1160, 2021
72021
Gaussian Process Boosting
F Sigrist
arXiv preprint arXiv:2004.02653, 2020
62020
Latent Gaussian Model Boosting
F Sigrist
arXiv preprint arXiv:2105.08966, 2021
22021
Joint Variable Selection of both Fixed and Random Effects for Gaussian Process-based Spatially Varying Coefficient Models
JA Dambon, F Sigrist, R Furrer
arXiv preprint arXiv:2101.01932, 2021
12021
When does attention matter? The effect of investor attention on stock market volatility around news releases
D Ballinari, F Audrino, F Sigrist
The Effect of Investor Attention on Stock Market Volatility Around News …, 2020
12020
Deep learning for real estate price prediction
L Walthert, F Sigrist
Available at SSRN 3393434, 2019
12019
Physics based dynamic modeling of space-time data
FRA Sigrist
ETH Zurich, 2013
12013
Machine Learning for Corporate Default Risk: Multi-Period Prediction, Frailty Correlation, Loan Portfolios, and Tail Probabilities
F Sigrist, N Leuenberger
Frailty Correlation, Loan Portfolios, and Tail Probabilities (October 8, 2021), 2021
2021
varycoef: An R Package for Gaussian Process-based Spatially Varying Coefficient Models
JA Dambon, F Sigrist, R Furrer
arXiv preprint arXiv:2106.02364, 2021
2021
Determinants of municipal loan spreads: empirical evidence from Switzerland
F Sigrist, P Köchli, C Lengwiler
Financial Markets and Portfolio Management 32 (2), 143-166, 2018
2018
Available online at www. sciencedirect. com
F Sigrist, HR Künsch, WA Stahel, SE Nevillea, MP Wand, K Krivoruchkoa, ...
Procedia Environmental Sciences 3, 14-19, 2011
2011
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