Financial Mathematics Group
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- 2015
-
Mark
Behavior of Extreme Dependence between Stock Markets when the Regime Shifts
Tajvidi, Nader LU
; Kiatsupaibul, Seksan
; Tirapat, Sunti
and Panyangam, Chonnart
(2015)
In Sri Lankan Journal of Applied Statistics
16(1).
p.21-40
- Contribution to specialist publication or newspaper › Specialist publication article
-
Mark
A Stability Analysis of the Nord Pool system using hourly spot price data.
Lindström, Erik LU
and Norén, Vicke
(2015)
In Journal of Energy Challenges and Mechanics
2(3).
p.85-90
- Contribution to journal › Article
-
Mark
BENCHOP—The BENCHmarking project in Option Pricing
von Sydow, Lina ; Höök, Lars Josef ; Larsson, Elisabeth ; Lindström, Erik LU
; Milovanović, Slobodan
; Persson, Jonas
; Shcherbakov, Victor
; Shpolyanskiy, Yuri
; Sirén, Samuel
and Toivanen, Jari
, et al.
(2015)
In International Journal of Computer Mathematics
92(12).
p.2361-2379
- Contribution to journal › Article
-
Mark
Regime-Based Versus Static Asset Allocation: Letting the Data Speak
Peter, Nystrup ; Bo William, Hansson ; Henrik, Madsen and Lindström, Erik LU
(2015)
In Journal of Portfolio Management
42(1).
p.103-109
- Contribution to journal › Article
-
Mark
Stylised facts of financial time series and hidden Markov models in continuous time
Peter, Nystrup ; Henrik, Madsen and Lindström, Erik LU
(2015)
In Quantitative Finance
15(9).
p.1531-1541
- Contribution to journal › Article
-
Mark
Statistics for Finance
Lindström, Erik LU
; Madsen, Henrik
and Nygaard Nielsen, Jan
(2015)
In Chapman & Hall/CRC Texts in Statistical Science
- Book/Report › Book
-
Mark
Stylized Facts of Financial Time Series and Hidden Markov Models with Time-Varying Parameters
Nystrup, Peter ; Madsen, Henrik and Lindström, Erik LU
(2015)
22nd International Conference on Forecasting Financial Markets
- Contribution to conference › Paper, not in proceeding
-
Mark
Stylized facts of financial time series hidden Markov models with time varying parameters
Nystrup, Peter ; Madsen, Henrik and Lindström, Erik LU
(2015)
22nd International Forecasting Financial Markets Conference
- Contribution to conference › Paper, not in proceeding
-
Mark
Kernel-based Estimate of the Insulin Action of Rapid-Acting Insulin in Home-Monitored Data
Ståhl, Fredrik LU ; Lindström, Erik LU
; Landin-Olsson, Mona
LU
and Johansson, Rolf
LU
(2015)
In IFAC-PapersOnLine
48(28).
p.715-720
- Contribution to journal › Article
-
Mark
Consumption management in the Nord Pool region: A stability analysis
- Contribution to journal › Article