Financial Mathematics Group
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- 2024
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Mark
On approximating dependence function and its derivatives
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- Contribution to journal › Article
- 2023
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Mark
GENERALIZED INFORMATION CRITERIA FOR SPARSE STATISTICAL JUMP MODELS
2023) p.68-78(
- Chapter in Book/Report/Conference proceeding › Book chapter
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Mark
What drives cryptocurrency returns? A sparse statistical jump model approach
2023) In Digital Finance(
- Contribution to journal › Article
- 2021
-
Mark
Feature selection in jump models
(
- Contribution to journal › Article
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Mark
Dimensionality reduction in forecasting with temporal hierarchies
(
- Contribution to journal › Article
- 2020
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Mark
Temporal hierarchies with autocorrelation for load forecasting
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- Contribution to journal › Article
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Mark
Greedy Online Classification of Persistent Market States Using Realized Intraday Volatility Features
(
- Contribution to journal › Article
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Mark
Learning hidden Markov models with persistent states by penalizing jumps
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- Contribution to journal › Article
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Mark
Hyperparameter Optimization for Portfolio Selection
(
- Contribution to journal › Article
- 2019
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Mark
Spatial statistical modelling of insurance risk : a spatial epidemiological approach to car insurance
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- Contribution to journal › Article