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
Estimation of the Spatial Weighting Matrix for Spatiotemporal Data under the Presence of Structural Breaks
Philipp Otto, Rick Steinert
In this paper, we propose a two-step lasso estimation approach to estimate the full spatial weights matrix of spatiotemporal autoregressive models. In addition, we allow for an unk…
Mean-Variance Efficiency of Optimal Power and Logarithmic Utility Portfolios
Taras Bodnar, Dmytro Ivasiuk, Nestor Parolya +1
We derive new results related to the portfolio choice problem for power and logarithmic utilities. Assuming that the portfolio returns follow an approximate log-normal distribution…
Bayesian mean-variance analysis: Optimal portfolio selection under parameter uncertainty
David Bauder, Taras Bodnar, Nestor Parolya +1
The paper solves the problem of optimal portfolio choice when the parameters of the asset returns distribution, like the mean vector and the covariance matrix are unknown and have…
Short- to Mid-term Day-Ahead Electricity Price Forecasting Using Futures
Rick Steinert, Florian Ziel
Due to the liberalization of markets, the change in the energy mix and the surrounding energy laws, electricity research is a dynamically altering field with steadily changing chal…