165 citations
- Stockholm UniversitySE8 papers
- Delft University of TechnologyNL5 papers
- Leibniz University HannoverDE5 papers
- Humboldt-Universität zu BerlinDE3 papers
- Eindhoven University of TechnologyNL2 papers
- GNA UniversityIN2 papers
- University of BolognaIT2 papers
- University of Duisburg-EssenDE2 papers
- Aalto UniversityFI1 paper
- AGH University of KrakowPL1 paper
- Agriculture and FoodAU1 paper
- Atilim UniversityTR1 paper
4 papers · 1 filter
Tests for the weights of the global minimum variance portfolio in a high-dimensional setting
Taras Bodnar, Solomiia Dmytriv, Nestor Parolya +1
In this study, we construct two tests for the weights of the global minimum variance portfolio (GMVP) in a high-dimensional setting, namely, when the number of assets depends o…
A New High-Dimensional Time Series Approach for Wind Speed, Wind Direction and Air Pressure Forecasting
Daniel Ambach, Wolfgang Schmid
Many wind speed forecasting approaches have been proposed in literature. In this paper a new statistical approach for jointly predicting wind speed, wind direction and air pressure…
Bayesian Inference of the Multi-Period Optimal Portfolio for an Exponential Utility
David Bauder, Taras Bodnar, Nestor Parolya +1
We consider the estimation of the multi-period optimal portfolio obtained by maximizing an exponential utility. Employing Jeffreys' non-informative prior and the conjugate informat…
Probabilistic Mid- and Long-Term Electricity Price Forecasting
Florian Ziel, Rick Steinert
The liberalization of electricity markets and the development of renewable energy sources has led to new challenges for decision makers. These challenges are accompanied by an incr…