Reconciliation of wind power forecasts in spatial hierarchies
Hansen, Mads E., Peter, Nystrup, Møller, Jan K., Henrik, Madsen
Published in Wind energy (Chichester, England) (01.06.2023)
Published in Wind energy (Chichester, England) (01.06.2023)
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Journal Article
Regime-Based Versus Static Asset Allocation: Letting the Data Speak
Nystrup, Peter, Hansen, Bo William, Madsen, Henrik, Lindström, Erik
Published in Journal of portfolio management (01.10.2015)
Published in Journal of portfolio management (01.10.2015)
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Journal Article
Greedy Gaussian segmentation of multivariate time series
Hallac, David, Nystrup, Peter, Boyd, Stephen
Published in Advances in data analysis and classification (01.09.2019)
Published in Advances in data analysis and classification (01.09.2019)
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Journal Article
Temporal hierarchies with autocorrelation for load forecasting
Nystrup, Peter, Lindström, Erik, Pinson, Pierre, Madsen, Henrik
Published in European journal of operational research (01.02.2020)
Published in European journal of operational research (01.02.2020)
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Journal Article
Multi-period portfolio selection with drawdown control
Nystrup, Peter, Boyd, Stephen, Lindström, Erik, Madsen, Henrik
Published in Annals of operations research (01.11.2019)
Published in Annals of operations research (01.11.2019)
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Journal Article
Learning hidden Markov models with persistent states by penalizing jumps
Nystrup, Peter, Lindström, Erik, Madsen, Henrik
Published in Expert systems with applications (15.07.2020)
Published in Expert systems with applications (15.07.2020)
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Journal Article
Likelihood-based inference in temporal hierarchies
Møller, Jan Kloppenborg, Nystrup, Peter, Madsen, Henrik
Published in International journal of forecasting (01.04.2024)
Published in International journal of forecasting (01.04.2024)
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Journal Article
Feature selection in jump models
Nystrup, Peter, Kolm, Petter N., Lindström, Erik
Published in Expert systems with applications (01.12.2021)
Published in Expert systems with applications (01.12.2021)
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Journal Article
Heat load forecasting using adaptive temporal hierarchies
Bergsteinsson, Hjörleifur G., Møller, Jan Kloppenborg, Nystrup, Peter, Pálsson, Ólafur Pétur, Guericke, Daniela, Madsen, Henrik
Published in Applied energy (15.06.2021)
Published in Applied energy (15.06.2021)
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Journal Article
Dimensionality reduction in forecasting with temporal hierarchies
Nystrup, Peter, Lindström, Erik, Møller, Jan K., Madsen, Henrik
Published in International journal of forecasting (01.07.2021)
Published in International journal of forecasting (01.07.2021)
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Journal Article
Clustering commercial and industrial load patterns for long-term energy planning
Nystrup, Peter, Madsen, Henrik, Blomgren, Emma M.V., de Zotti, Giulia
Published in Smart energy (Amsterdam) (01.05.2021)
Published in Smart energy (Amsterdam) (01.05.2021)
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Journal Article
Dynamic Allocation or Diversification: A Regime-Based Approach to Multiple Assets
Nystrup, Peter, Hansen, Bo William, Larsen, Henrik Olejasz, Madsen, Henrik, Lindström, Erik
Published in Journal of portfolio management (01.01.2018)
Published in Journal of portfolio management (01.01.2018)
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Journal Article
Detecting change points in VIX and S&P 500: A new approach to dynamic asset allocation
Nystrup, Peter, William Hansen, Bo, Madsen, Henrik, Lindström, Erik
Published in Journal of asset management (01.09.2016)
Published in Journal of asset management (01.09.2016)
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Journal Article