9 citations · 10 across the 2 of their papers we have counts for
Showing stat.APShow all
2 papers · 1 filter
stat.AP2019
Projection pursuit based generalized betas accounting for higher order co-moment effects in financial market analysis
Sven Serneels
Betas are possibly the most frequently applied tool to analyze how securities relate to the market. While in very widespread use, betas only express dynamics derived from second mo…
stat.AP2018
Multivariate Constrained Robust M-Regression for Shaping Forward Curves in Electricity Markets
Peter Leoni, Pieter Segaert, Sven Serneels +1
In this paper, a multivariate constrained robust M-regression (MCRM) method is developed to estimate shaping coefficients for electricity forward prices. An important benefit of th…