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- 2021
-
Mark
Feature selection in jump models
(
- Contribution to journal › Article
-
Mark
Dimensionality reduction in forecasting with temporal hierarchies
(
- Contribution to journal › Article
-
Mark
Heat load forecasting using adaptive temporal hierarchies
(
- Contribution to journal › Article
- 2020
-
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
-
Mark
Greedy Online Classification of Persistent Market States Using Realized Intraday Volatility Features
(
- Contribution to journal › Article
-
Mark
Temporal hierarchies with autocorrelation for load forecasting
(
- Contribution to journal › Article
- 2019
-
Mark
Multi-period portfolio selection with drawdown control
(
- Contribution to journal › Article
-
Mark
Temporal hierarchies with autocorrelation for load forecasting
2019) International Symposium on Forecasting, 2019(
- Contribution to conference › Abstract
- 2018
-
Mark
Dynamic portfolio optimization across hidden market regimes
(
- Contribution to journal › Article
-
Mark
Practical Applications of Dynamic Allocation or Diversification: A Regime-Based Approach to Multiple Assets
(
- Contribution to journal › Article
- 2017
-
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
Dynamic Portfolio Optimization Across Hidden Market Regimes
2016) SIAM Conference on Financial Mathematics and Engineering(
- Contribution to conference › Paper, not in proceeding
-
Mark
Detecting change points in VIX and S&P 500: A new approach to dynamic asset allocation
(
- Contribution to journal › Article
- 2015
-
Mark
Stylized Facts of Financial Time Series and Hidden Markov Models with Time-Varying Parameters
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
2015) 22nd International Forecasting Financial Markets Conference(
- Contribution to conference › Paper, not in proceeding