Publikationer 2015 2019

Filter
Tidsskriftartikel
2019

A seasonal copula mixture for hedging the clean spark spread with wind power futures

Christensen, T. S., Pircalabu, A. & Høg, E., 1 feb. 2019, I : Energy Economics. 78, February 2019, s. 64-80 17 s.

Publikation: Bidrag til tidsskriftTidsskriftartikelForskningpeer review

Electric sparks
Wind power
Risk management
Power generation
Power plants

Leverage and influence diagnostics for Gibbs spatial point processes

Baddeley, A., Rubak, E. & Turner, R., mar. 2019, I : Spatial Statistics. 29, s. 15-48 34 s.

Publikation: Bidrag til tidsskriftTidsskriftartikelForskningpeer review

Influence Diagnostics
Spatial Point Process
Composite Likelihood
Leverage
Diagnostics

Modeling the exact convergence of electricity prices in interconnected markets

Christensen, T. S. & Benth, F. E., 2019, (Afsendt) I : Energy Economics. 19 s.

Publikation: Bidrag til tidsskriftTidsskriftartikelForskningpeer review

Electricity
Derivatives
Power markets
Modeling
Electricity price

Pathwise decompositions of Brownian semistationary processes

Orimar, S. A., 2019, (Accepteret/In press) I : Theory of Probability and Its Applications.

Publikation: Bidrag til tidsskriftTidsskriftartikelForskningpeer review

Åben adgang
1 Citation (Scopus)

Resample-smoothing of Voronoi intensity estimators

Moradi, M. M., Cronie, O., Rubak, E., Lachieze-Rey, R., Mateu, J. & Baddeley, A., 19 jan. 2019, I : Statistics and Computing. 16 s.

Publikation: Bidrag til tidsskriftTidsskriftartikelForskningpeer review

Åben adgang
Voronoi
Smoothing
Estimator
Linear networks
Highway accidents
2018
6 Citationer (Scopus)

A non-Gaussian Ornstein-Uhlenbeck model for pricing wind power futures

Benth, F. E. & Pircalabu, A., 2018, I : Applied Mathematical Finance. 25, 1, s. 26-65 30 s.

Publikation: Bidrag til tidsskriftTidsskriftartikelForskningpeer review

Wind Power
Wind power
Pricing
Costs
Model
1 Citation (Scopus)

Déjà vol oil? Predicting S&P 500 equity premium using crude oil price volatility: Evidence from old and recent time-series data

Nonejad, N., 1 jul. 2018, I : International Review of Financial Analysis. 58, s. 260-270 10 s.

Publikation: Bidrag til tidsskriftTidsskriftartikelForskningpeer review

Oil price volatility
Crude oil price
Oil
Equity premium
Time series data

On the spatial hedging effectiveness of German wind power futures for wind power generators

Christensen, T. S. & Pircalabu, A., 2018, I : Journal of Energy Markets. 11, 3

Publikation: Bidrag til tidsskriftTidsskriftartikelForskningpeer review

Wind power
Farms
Economics
2017

On the class of distributions of subordinated Lévy processes and bases

Orimar, S. A. & Veraart, A. E. D., 2017, I : Stochastic Processes and Their Applications. 127, 2, s. 475-496 22 s.

Publikation: Bidrag til tidsskriftTidsskriftartikelForskningpeer review

Subordinator
Recovery
Moving Average Process
Class
4 Citationer (Scopus)

Positive semidefinite integrated covariance estimation, factorizations and asynchronicity

Boudt, K., Laurent, S., Lunde, A., Quaedvlieg, R. & Orimar, S. A., 2017, I : Journal of Econometrics. 196, 2, s. 347-367 21 s.

Publikation: Bidrag til tidsskriftTidsskriftartikelForskningpeer review

Integrated
Estimator
Microstructure noise
Trade intensity
Monte Carlo simulation
2 Citationer (Scopus)

Selfdecomposable Fields

Barndorff-Nielsen, O. E., Orimar, S. A. & Szozda, B., 2017, I : Journal of Theoretical Probability. 30, 1, s. 233-267 35 s.

Publikation: Bidrag til tidsskriftTidsskriftartikelForskningpeer review

Self-decomposability
Volterra
Random Field
Stochastic Integration
Infinitely Divisible