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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) In Digital Finance(
- Contribution to journal › Article
- 2021
-
Mark
Feature selection in jump models
(
- Contribution to journal › Article
-
Mark
Dimensionality reduction in forecasting with temporal hierarchies
(
- Contribution to journal › Article
- 2020
-
Mark
Temporal hierarchies with autocorrelation for load forecasting
(
- Contribution to journal › Article
-
Mark
Greedy Online Classification of Persistent Market States Using Realized Intraday Volatility Features
(
- Contribution to journal › Article
-
Mark
Learning hidden Markov models with persistent states by penalizing jumps
(
- Contribution to journal › Article
-
Mark
Hyperparameter Optimization for Portfolio Selection
(
- Contribution to journal › Article
- 2019
-
Mark
Multi-period portfolio selection with drawdown control
(
- Contribution to journal › Article
-
Mark
Spatial statistical modelling of insurance risk : a spatial epidemiological approach to car insurance
(
- Contribution to journal › Article
-
Mark
Fourier Method for Valuation of Options under Parameter and State Uncertainty
(
- Contribution to journal › Article
- 2018
-
Mark
Dynamic portfolio optimization across hidden market regimes
(
- Contribution to journal › Article
-
Mark
Optimal adaptive sequential calibration of option models
(
- Chapter in Book/Report/Conference proceeding › Book chapter
-
Mark
Unbiased Adaptive LASSO parameter estimation for diffusion processes
(
- Chapter in Book/Report/Conference proceeding › Paper in conference 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
- 2017
-
Mark
Multi-Period Portfolio Selection with Drawdown Control
2017) International Symposium on Forecasting, 2017(
- Contribution to conference › Paper, not in proceeding
-
Mark
Long Memory of Financial Time Series and Hidden Markov Models with Time-Varying Parameters
(
- Contribution to journal › Article
-
Mark
Dynamic Allocation or Diversification : A Regime-Based Approach to Multiple Assets
(
- Contribution to journal › Article
- 2016
-
Mark
Multilevel Monte Carlo Methods for Simulated Maximum Likelihood Inference in Multivariate Diffusions
2016) WORLD CONGRESS OF THE BACHELIER FINANCE SOCIETY(
- Contribution to conference › Paper, not in proceeding
-
Mark
Efficient computation of the quasi likelihood function for discretely observed diffusion processes
(
- Contribution to journal › Article