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Author ID: nystrup.peter Recent zbMATH articles by "Nystrup, Peter"
Published as: Nystrup, Peter
Documents Indexed: 7 Publications since 2015
Co-Authors: 5 Co-Authors with 7 Joint Publications
210 Co-Co-Authors

Publications by Year

Citations contained in zbMATH Open

7 Publications have been cited 29 times in 22 Documents Cited by Year
Long memory of financial time series and hidden Markov models with time-varying parameters. Zbl 1397.60104
Nystrup, Peter; Madsen, Henrik; Lindström, Erik
10
2017
Stylised facts of financial time series and hidden Markov models in continuous time. Zbl 1398.91691
Nystrup, Peter; Madsen, Henrik; Lindström, Erik
4
2015
Greedy Gaussian segmentation of multivariate time series. Zbl 1459.62170
Hallac, David; Nystrup, Peter; Boyd, Stephen
4
2019
Multi-period portfolio selection with drawdown control. Zbl 1430.91088
Nystrup, Peter; Boyd, Stephen; Lindström, Erik; Madsen, Henrik
4
2019
Dynamic portfolio optimization across hidden market regimes. Zbl 1400.91560
Nystrup, Peter; Madsen, Henrik; Lindström, Erik
3
2017
Temporal hierarchies with autocorrelation for load forecasting. Zbl 1430.62210
Nystrup, Peter; Lindström, Erik; Pinson, Pierre; Madsen, Henrik
3
2020
Dynamic portfolio optimization across hidden market regimes. Zbl 1471.91509
Nystrup, Peter; Madsen, Henrik; Lindström, Erik
1
2018
Temporal hierarchies with autocorrelation for load forecasting. Zbl 1430.62210
Nystrup, Peter; Lindström, Erik; Pinson, Pierre; Madsen, Henrik
3
2020
Greedy Gaussian segmentation of multivariate time series. Zbl 1459.62170
Hallac, David; Nystrup, Peter; Boyd, Stephen
4
2019
Multi-period portfolio selection with drawdown control. Zbl 1430.91088
Nystrup, Peter; Boyd, Stephen; Lindström, Erik; Madsen, Henrik
4
2019
Dynamic portfolio optimization across hidden market regimes. Zbl 1471.91509
Nystrup, Peter; Madsen, Henrik; Lindström, Erik
1
2018
Long memory of financial time series and hidden Markov models with time-varying parameters. Zbl 1397.60104
Nystrup, Peter; Madsen, Henrik; Lindström, Erik
10
2017
Dynamic portfolio optimization across hidden market regimes. Zbl 1400.91560
Nystrup, Peter; Madsen, Henrik; Lindström, Erik
3
2017
Stylised facts of financial time series and hidden Markov models in continuous time. Zbl 1398.91691
Nystrup, Peter; Madsen, Henrik; Lindström, Erik
4
2015

Citations by Year