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A rough multi-factor model of electricity spot prices
Bennedsen, Mikkel - In: Energy economics 63 (2017), pp. 301-313
Persistent link: https://www.econbiz.de/10011757980
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Rough continuous-time processes : theory and applications
Bennedsen, Mikkel - 2017
Persistent link: https://www.econbiz.de/10011817834
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Modeling, forecasting, and nowcasting U.S. CO2 emissions using many macroeconomic predictors
Bennedsen, Mikkel; Hillebrand, Eric; Koopman, Siem Jan - 2019
Persistent link: https://www.econbiz.de/10012316908
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Inference and forecasting for continuous-time integervalued trawl processes and their use in financial economics
Bennedsen, Mikkel; Lunde, Asger; Shephard, Neil G.; … - 2021
Persistent link: https://www.econbiz.de/10012621491
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Modeling, forecasting, and nowcasting U.S. CO2 emissions using many macroeconomic predictors
Bennedsen, Mikkel; Hillebrand, Eric; Koopman, Siem Jan - In: Energy economics 96 (2021), pp. 1-17
Persistent link: https://www.econbiz.de/10012818590
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Inference and forecasting for continuous-time integer-valued trawl processes
Bennedsen, Mikkel; Lunde, Asger; Shephard, Neil G.; … - In: Journal of econometrics 236 (2023) 2, pp. 1-21
Persistent link: https://www.econbiz.de/10014365470
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Decoupling the short- and long-term behavior of stochastic volatility
Bennedsen, Mikkel; Lunde, Asger; Pakkanen, Mikko S. - In: Journal of financial econometrics 20 (2022) 5, pp. 961-1006
Persistent link: https://www.econbiz.de/10013460035