2 citations · 4 across the 3 of their papers we have counts for
3 papers
stat.ME2024
Detection of a structural break in intraday volatility pattern
Piotr Kokoszka, Tim Kutta, Neda Mohammadi +2
We develop theory leading to testing procedures for the presence of a change point in the intraday volatility pattern. The new theory is developed in the framework of Functional Da…
stat.ME2023★ 2 cited
Functional diffusion driven stochastic volatility model
Piotr Kokoszka, Neda Mohammadi, Haonan Wang +1
We propose a stochastic volatility model for time series of curves. It is motivated by dynamics of intraday price curves that exhibit both between days dependence and intraday pric…
physics.soc-ph2016★ 2 cited
Urban Energy Flux: Human Mobility as a Predictor for Spatial Changes
Neda Mohammadi, John E Taylor
As a key energy challenge, we urgently require a better understanding of how growing urban populations interact with municipal energy systems and the resulting impact on energy dem…