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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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Semiparametric estimation and inference on the fractal index of Gaussian and conditionally Gaussian time series data
Bennedsen, Mikkel - In: Econometric reviews 39 (2020) 9, pp. 875-903
Persistent link: https://www.econbiz.de/10012295586
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Hybrid scheme for Brownian semistationary processes
Bennedsen, Mikkel; Lunde, Asger; Pakkanen, Mikko S. - In: Finance and stochastics 21 (2017) 4, pp. 931-965
Persistent link: https://www.econbiz.de/10011944457
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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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A neural network approach to the environmental Kuznets curve
Bennedsen, Mikkel; Hillebrand, Eric; Jensen, Sebastian - In: Energy economics 126 (2023), pp. 1-19
Persistent link: https://www.econbiz.de/10014483600
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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