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Projects
- 1 Finished
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A mechanism for reducing opaqueness in financial institutions
Høg, E., Grosen, A. & Hansen, M. K.
01/01/2009 → 31/12/2017
Project: Research
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A Vine Copula Panel Model for Day-Ahead Electricity Prices
Valberg-Madsen, J. S., Høg, E., Christensen, T. S. & Pircalabu, A., 25 Jan 2020, Symposium i Anvendt Statistik 2020. Linde, P. (ed.). København: Det Nationale Forskningscenter for Arbejdsmiljø, p. 88-94 7 p.Research output: Contribution to book/anthology/report/conference proceeding › Book chapter › Research › peer-review
Open AccessFile60 Downloads (Pure) -
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 journal › Journal article › peer-review
Open AccessFile5 Citations (Scopus)33 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 proceeding › Book chapter › Research › peer-review
Open Access -
Joint price and volumetric risk in wind power trading: A copula approach
Pircalabu, A., Hvolby, T., Jung, J. & Høg, E., 2017, In: Energy Economics. 62, p. 139-154 16 p.Research output: Contribution to journal › Journal article › peer-review
22 Citations (Scopus) -
A Wavelet Approach to Integrated Volatility and Quarticity
Høg, E., Christensen, B. J. & Dziubinski, M., 2016, (Submitted) In: Journal of Empirical Finance.Research output: Contribution to journal › Journal article › Research › peer-review