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Dynamic portfolio optimization across hidden market regimes
Nystrup, Peter; Madsen, Henrik; Lindström, Erik - In: Quantitative finance 18 (2018) 1, pp. 83-95
Persistent link: https://www.econbiz.de/10011905831
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Temporal hierarchies with autocorrelation for load forecasting
Nystrup, Peter; Lindström, Erik; Pinson, Pierre; … - In: European journal of operational research : EJOR 280 (2020) 3, pp. 876-888
Persistent link: https://www.econbiz.de/10012132492
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Multi-period portfolio selection with drawdown control
Nystrup, Peter; Boyd, Stephen P.; Lindström, Erik; … - In: Application of operations research to financial markets, (pp. 245-271). 2019
Persistent link: https://www.econbiz.de/10012157466
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Short-term probabilistic forecasting of wind speed using stochastic differential equations
Iversen, Emil B.; Morales, Juan M.; Møller, Jan K.; … - In: International journal of forecasting 32 (2016) 3, pp. 981-990
Persistent link: https://www.econbiz.de/10011621968
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Likelihood-based inference in temporal hierarchies
Møller, Jan Kloppenborg; Nystrup, Peter; Madsen, Henrik - In: International journal of forecasting 40 (2024) 2, pp. 515-531
Persistent link: https://www.econbiz.de/10014547174
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Adaptive modelling and forecasting of offshore wind power fluctuations with Markov-switching autoregressive models
Pinson, Pierre; Madsen, Henrik - In: Journal of forecasting 31 (2012) 4, pp. 281-313
Persistent link: https://www.econbiz.de/10009576383
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Probabilistic forecasts of wind power generation by stochastic differential equation models
Kloppenborg Møller, Jan; Zugno, Marco; Madsen, Henrik - In: Journal of forecasting 35 (2016) 3, pp. 189-205
Persistent link: https://www.econbiz.de/10011580264