| Modeling extreme dependence between European electricity markets E Lindström, F Regland Energy economics 34 (4), 899-904, 2012 | 84 | 2012 |
| BENCHOP–The BENCHmarking project in option pricing L von Sydow, L Josef Höök, E Larsson, E Lindström, S Milovanović, ... International Journal of Computer Mathematics 92 (12), 2361-2379, 2015 | 80 | 2015 |
| Modelling non-linear and non-stationary time series H Madsen, J Holst, E Lindström IMM, DTU, 2000 | 79 | 2000 |
| Temporal hierarchies with autocorrelation for load forecasting P Nystrup, E Lindström, P Pinson, H Madsen European Journal of Operational Research 280 (3), 876-888, 2020 | 78 | 2020 |
| Multi-period portfolio selection with drawdown control P Nystrup, S Boyd, E Lindström, H Madsen Annals of Operations Research 282 (1), 245-271, 2019 | 70 | 2019 |
| Dynamic portfolio optimization across hidden market regimes P Nystrup, H Madsen, E Lindström Quantitative Finance 18 (1), 83-95, 2018 | 70 | 2018 |
| Long memory of financial time series and hidden Markov models with time‐varying parameters P Nystrup, H Madsen, E Lindström Journal of Forecasting 36 (8), 989-1002, 2017 | 69 | 2017 |
| Sequential calibration of options E Lindström, J Ströjby, M Brodén, M Wiktorsson, J Holst Computational Statistics & Data Analysis 52 (6), 2877-2891, 2008 | 64 | 2008 |
| Statistics for finance E Lindström, H Madsen, JN Nielsen Chapman and Hall/CRC, 2018 | 62 | 2018 |
| Regime-based versus static asset allocation: Letting the data speak P Nystrup, BW Hansen, H Madsen, E Lindström Journal of Portfolio Management 42 (1), 103, 2015 | 51 | 2015 |
| Stylised facts of financial time series and hidden Markov models in continuous time P Nystrup, H Madsen, E Lindström Quantitative Finance 15 (9), 1531-1541, 2015 | 42 | 2015 |
| Learning hidden Markov models with persistent states by penalizing jumps P Nystrup, E Lindström, H Madsen Expert Systems with Applications 150, 113307, 2020 | 31 | 2020 |
| Dynamic Allocation or Diversification: A Regime-Based Approach to Multiple Assets P Nystrup, BW Hansen, HO Larsen, H Madsen, E Lindström Journal of Portfolio Management 44 (2), 62-73, 2018 | 31 | 2018 |
| A regularized bridge sampler for sparsely sampled diffusions E Lindström Statistics and Computing 22, 615-623, 2012 | 30 | 2012 |
| Detecting change points in VIX and S&P 500: A new approach to dynamic asset allocation P Nystrup, B William Hansen, H Madsen, E Lindström Journal of Asset Management 17, 361-374, 2016 | 24 | 2016 |
| Greedy online classification of persistent market states using realized intraday volatility features P Nystrup, PN Kolm, E Lindström Journal of Financial Data Science 2 (3), 25-39, 2020 | 23 | 2020 |
| Estimating parameters in diffusion processes using an approximate maximum likelihood approach E Lindström Annals of Operations Research 151, 269-288, 2007 | 23 | 2007 |
| Implications of parameter uncertainty on option prices. E Lindström Advances in Decision Sciences, 2010 | 22 | 2010 |
| Dimensionality reduction in forecasting with temporal hierarchies P Nystrup, E Lindström, JK Møller, H Madsen International Journal of Forecasting 37 (3), 1127-1146, 2021 | 20 | 2021 |
| Efficient iterated filtering E Lindström, E Ionides, J Frydendall, H Madsen IFAC Proceedings Volumes 45 (16), 1785-1790, 2012 | 20 | 2012 |
Henrik MadsenProfessor, PhD, DTU Compute, Technical University of Denmark在 dtu.dk 的电子邮件经过验证
