FinStressTS is a parametric synthetic benchmark with 30 environments across six mechanism families for evaluating point and probabilistic forecasting models on financial time series.
Andersen, Tim Bollerslev, Francis X
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FinStressTS: A Parametric Synthetic Benchmark for Time-Series Forecasting in Finance
FinStressTS is a parametric synthetic benchmark with 30 environments across six mechanism families for evaluating point and probabilistic forecasting models on financial time series.