Research Output 2015 2019

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Journal article
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

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, In : Spatial Statistics. 29, p. 15-48 34 p.

Research output: Contribution to journalJournal articleResearchpeer-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, (Submitted) In : Energy Economics. 19 p.

Research output: Contribution to journalJournal articleResearchpeer-review

Electricity
Derivatives
Power markets
Modeling
Electricity price

Pathwise decompositions of Brownian semistationary processes

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

Research output: Contribution to journalJournal articleResearchpeer-review

Open Access
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, In : Statistics and Computing. 16 p.

Research output: Contribution to journalJournal articleResearchpeer-review

Open Access
Voronoi
Smoothing
Estimator
Linear networks
Highway accidents
2018
6 Citations (Scopus)

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

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

Research output: Contribution to journalJournal articleResearchpeer-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, In : International Review of Financial Analysis. 58, p. 260-270 10 p.

Research output: Contribution to journalJournal articleResearchpeer-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, In : Journal of Energy Markets. 11, 3

Research output: Contribution to journalJournal articleResearchpeer-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, In : Stochastic Processes and Their Applications. 127, 2, p. 475-496 22 p.

Research output: Contribution to journalJournal articleResearchpeer-review

Subordinator
Recovery
Moving Average Process
Class
4 Citations (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

Integrated
Estimator
Microstructure noise
Trade intensity
Monte Carlo simulation
2 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

Self-decomposability
Volterra
Random Field
Stochastic Integration
Infinitely Divisible