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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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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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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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Dimensionality reduction in forecasting with temporal hierarchies
Nystrup, Peter; Lindström, Erik; Møller, Jan K.; … - In: International journal of forecasting 37 (2021) 3, pp. 1127-1146
Persistent link: https://www.econbiz.de/10012794823
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Detecting change points in VIX and S&P 500 : a new approach to dynamic asset allocation
Nystrup, Peter; Hansen, Bo William; Madsen, Henrik; … - In: The journal of asset management 17 (2016) 5, pp. 361-374
Persistent link: https://www.econbiz.de/10011634685