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- 2023
-
Mark
GENERALIZED INFORMATION CRITERIA FOR SPARSE STATISTICAL JUMP MODELS
2023) p.68-78(
- Chapter in Book/Report/Conference proceeding › Book chapter
-
Mark
What drives cryptocurrency returns? A sparse statistical jump model approach
2023) 6th International Conference on Econometrics and Statistics(
- Contribution to conference › Abstract
-
Mark
What Drives Cryptocurrency Returns? A Sparse Statistical Jump Model Approach
2023) 29th Nordic Conference in Mathematical Statistics(
- Contribution to conference › Abstract
-
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
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Mark
Physics informed stochastic grey-box model of the flow-front in a vacuum assisted resin transfer moulding process with missing data
(
- Chapter in Book/Report/Conference proceeding › Paper in conference proceeding
- 2020
-
Mark
Learning hidden Markov models with persistent states by penalizing jumps
(
- Contribution to journal › Article
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Mark
Hyperparameter Optimization for Portfolio Selection
(
- 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
Temporal hierarchies with autocorrelation for load forecasting
(
- Contribution to journal › Article
- 2019
-
Mark
Fourier Method for Valuation of Options under Parameter and State Uncertainty
(
- Contribution to journal › Article
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Mark
Spatial statistical modelling of insurance risk : a spatial epidemiological approach to car insurance
(
- Contribution to journal › Article
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Mark
Multi-period portfolio selection with drawdown control
(
- Contribution to journal › Article
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Mark
Temporal hierarchies with autocorrelation for load forecasting
2019) International Symposium on Forecasting, 2019(
- Contribution to conference › Abstract
-
Mark
LPJ-GM 1.0 : Simulating migration efficiently in a dynamic vegetation model
(
- Contribution to journal › Article
- 2018
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Mark
Intelligent, Flexible production in an Energy System Dominated by Renewables.
(
- Chapter in Book/Report/Conference proceeding › Book chapter
-
Mark
A Diffusion Bridge Sampler for Drift- and Diffusion Dominated Models
2018) 10th Bachelier world congress(
- Contribution to conference › Paper, not in proceeding
-
Mark
A Variance-Reduced Multilevel Monte Carlo Algorithm for Maximum Likelihood Inference in Multivariate Diffusions
2018) 12th International Workshop on Rare-Event Simulation(
- Contribution to conference › Abstract
-
Mark
Optimal adaptive sequential calibration of option models
(
- Chapter in Book/Report/Conference proceeding › Book chapter