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Long memory of financial time series and hidden Markov models with time‐varying parameters
Nystrup, Peter; Madsen, Henrik; Lindström, Erik - In: Journal of forecasting 36 (2017) 8, pp. 989-1002
Persistent link: https://www.econbiz.de/10011860941
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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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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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Independent spike models : estimation and validation
Regland, Fredrik; Lindström, Erik - In: Finance a úvěr 62 (2012) 2, pp. 180-196
Persistent link: https://www.econbiz.de/10009740499
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Modeling extreme dependence between European electricity markets
Lindström, Erik; Regland, Fredrik - In: Energy economics 34 (2012) 4, pp. 899-904
Persistent link: https://www.econbiz.de/10009686698