Research Output

2020

Forecasting Nonfractional Long Memory

Vera-Valdés, J. E., 2020, (In preparation).

Research output: Working paperResearch

Long-Lasting Economic Effects of Pandemics: Evidence from Growth and Unemployment

Rodríguez Caballero, C. V. & Vera-Valdés, J. E., 17 Sep 2020, In : Econometrics. 8, 37, p. 1-16 16 p.

Research output: Contribution to journalJournal articleResearchpeer-review

Open Access
File

Long-Lasting Economic Effects of Pandemics: Evidence from the United Kingdom

Rodríguez Caballero, C. V. & Vera-Valdés, J. E., Jun 2020.

Research output: Working paperResearch

File
23 Downloads (Pure)

Nonfractional Long-Range Dependence: Long Memory, Antipersistence, and Aggregation

Vera-Valdés, J. E., 20 Jun 2020, (Submitted).

Research output: Working paperResearch

On Long Memory Origins and Forecast Horizons

Vera-Valdés, J. E., 2 Jul 2020, In : Journal of Forecasting. 39, 5, p. 811-826 16 p.

Research output: Contribution to journalJournal articleResearchpeer-review

File
2 Citations (Scopus)
16 Downloads (Pure)

On the divergence and vorticity of vector ambit fields

Sauri, O., 1 Jan 2020, (Accepted/In press) In : Stochastic Processes and Their Applications. 130, 10, p. 6184-6225 42 p.

Research output: Contribution to journalJournal articleResearchpeer-review

1 Citation (Scopus)

Spurious Multivariate Regressions Under Fractionally Integrated Processes

Ventosa-Santaulària, D., Vera-Valdés, J. E., Lasak, K. & Ramírez-Vargas, R., 7 May 2020, In : Communications in Statistics: Theory and Methods.

Research output: Contribution to journalJournal articleResearchpeer-review

File
50 Downloads (Pure)
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, In : Energy Economics. 78, February 2019, p. 64-80 17 p.

Research output: Contribution to journalJournal articleResearchpeer-review

2 Citations (Scopus)

Essays on Cross-Commodity Modeling in Energy Markets

Christensen, T. S., 2019, Aalborg Universitetsforlag. (Ph.d.-serien for Det Ingeniør- og Naturvidenskabelige Fakultet, Aalborg Universitet).

Research output: Book/ReportPh.D. thesisResearch

Open Access
File
27 Downloads (Pure)

Essays on modeling the short-term electricity markets

Nielsen, R. H., 2019, Aalborg Universitetsforlag. 7 p. (Ph.d.-serien for Det Ingeniør- og Naturvidenskabelige Fakultet, Aalborg Universitet).

Research output: Book/ReportPh.D. thesisResearch

Open Access
File
27 Downloads (Pure)

Leverage and influence diagnostics for Gibbs spatial point processes

Baddeley, A., Rubak, E. & Turner, R., Mar 2019, In : Spatial Statistics. 29, p. 15-48 34 p.

Research output: Contribution to journalJournal articleResearchpeer-review

Modeling the exact convergence of electricity prices in interconnected markets

Christensen, T. S. & Benth, F. E., 2019, (Submitted) In : Energy Economics. 19 p.

Research output: Contribution to journalJournal articleResearchpeer-review

Pathwise decompositions of Brownian semistationary processes

Orimar, S. A., 2019, In : Theory of Probability and Its Applications. 64, 1, p. 78-102

Research output: Contribution to journalJournal articleResearchpeer-review

2 Citations (Scopus)

Resample-smoothing of Voronoi intensity estimators

Moradi, M. M., Cronie, O., Rubak, E., Lachieze-Rey, R., Mateu, J. & Baddeley, A., 11 Sep 2019, In : Statistics and Computing. 29, 5, p. 995-1010 16 p.

Research output: Contribution to journalJournal articleResearchpeer-review

Open Access
File
7 Citations (Scopus)
1 Downloads (Pure)

The VIX, the Variance Premium, and Expected Returns

Osterrieder, D., Ventosa-Santaulària, D. & Vera-Valdés, J. E., 2019, In : Journal of Financial Econometrics. 17, 4, p. 517-558 42 p.

Research output: Contribution to journalJournal articleResearchpeer-review

File
2 Citations (Scopus)
127 Downloads (Pure)
2018

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

Benth, F. E. & Pircalabu, A., 2 Jan 2018, In : Applied Mathematical Finance. 25, 1, p. 36-65 30 p.

Research output: Contribution to journalJournal articleResearchpeer-review

Open Access
File
7 Citations (Scopus)
21 Downloads (Pure)

Calibration of CIR processes to CVA data and applications to estimation of Market Price of Risk

Hvolby, T., Christensen, B. J. & Høg, E., 2018, Essays on Risk and Fair Pricing: PhD Thesis. Aalborg University, p. 89-135 (PhD Series, Faculty of Engineering and Science, Aalborg University).

Research output: Contribution to book/anthology/report/conference proceedingBook chapterResearchpeer-review

Open Access

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, In : International Review of Financial Analysis. 58, p. 260-270 10 p.

Research output: Contribution to journalJournal articleResearchpeer-review

5 Citations (Scopus)

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

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

Research output: Contribution to journalJournal articleResearchpeer-review

2017

On the class of distributions of subordinated Lévy processes and bases

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

Research output: Contribution to journalJournal articleResearchpeer-review

1 Citation (Scopus)

Positive semidefinite integrated covariance estimation, factorizations and asynchronicity

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

Research output: Contribution to journalJournal articleResearchpeer-review

6 Citations (Scopus)

Selfdecomposable Fields

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

Research output: Contribution to journalJournal articleResearchpeer-review

3 Citations (Scopus)
2015

Invertibility of infinitely divisible continuous-time moving average processes

Orimar, S. A., 2015, arXiv.org, 12 p. (arXiv.org (e-prints)).

Research output: Working paperResearch

Open Access

On Lévy semistationary processes with a gamma kernel

Pedersen, J. & Orimar, S. A., 2015, XI Symposium on Probability and Stochastic Processes. Mena, R. & Pardo, J. (eds.). Birkhäuser, Cham, Vol. 69. p. 217-239 23 p. (Progress in Probability, Vol. 69).

Research output: Contribution to book/anthology/report/conference proceedingArticle in proceedingResearchpeer-review

2012

Spurious forecasts?

Martínez-Rivera, B., Ventosa-Santaulària, D. & Vera-Valdés, J. E., 1 Apr 2012, In : Journal of Forecasting. 31, 3, p. 245-259 15 p.

Research output: Contribution to journalJournal articleResearchpeer-review

Open Access
File
3 Citations (Scopus)
54 Downloads (Pure)