3 citations · 3 across the 3 of their papers we have counts for
3 papers
q-fin.RM2019
Multivariate Modeling of Natural Gas Spot Trading Hubs Incorporating Futures Market Realized Volatility
Michael Weylandt, Yu Han, Katherine B. Ensor
Financial markets for Liquified Natural Gas (LNG) are an important and rapidly-growing segment of commodities markets. Like other commodities markets, there is an inherent spatial…
stat.AP2016★ 3 cited
Dynamic Principal Component Analysis: Identifying the Relationship between Multiple Air Pollutants
Oleg Melnikov, Loren H. Raun, Katherine B. Ensor
The dynamic nature of air quality chemistry and transport makes it difficult to identify the mixture of air pollutants for a region. In this study of air quality in the Houston met…
stat.CO2014
Stochastic Volatility Filtering with Intractable Likelihoods
Emilian Vankov, Katherine B. Ensor
This paper is concerned with particle filtering for -stable stochastic volatility models. The -stable distribution provides a flexible framework for modeling asymmetry and he…