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Dynamic allocation or diversification : a regime-based approach to multiple assets
Nystrup, Peter; Hansen, Bo William; Larsen, Henrik Olejasz - In: The journal of portfolio management : a publication of … 44 (2018) 2, pp. 62-73
Persistent link: https://www.econbiz.de/10011880054
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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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Feedback, competition and stochasticity in a day ahead electricity market
Giabardo, Paolo; Zugno, Marco; Pinson, Pierre; Madsen, … - In: Energy economics 32 (2010) 2, pp. 292-301
Persistent link: https://www.econbiz.de/10003954606
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On the market impact of wind energy forecasts
Jónsson, Tryggvi; Pinson, Pierre; Madsen, Henrik - In: Energy economics 32 (2010) 2, pp. 313-320
Persistent link: https://www.econbiz.de/10003954611
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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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A bilevel model for electricity retailers' participation in a demand response market environment
Zugno, Marco; Morales, Juan Miguel; Pinson, Pierre; … - In: Energy economics 36 (2013), pp. 182-197
Persistent link: https://www.econbiz.de/10009724735
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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. 281-314
Persistent link: https://www.econbiz.de/10009971919
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A bilevel model for electricity retailers' participation in a demand response market environment
Zugno, Marco; Morales, Juan Miguel; Pinson, Pierre; … - In: Energy economics 36 (2013), pp. 182-197
Persistent link: https://www.econbiz.de/10010083751
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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