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List of works by Peter Nystrup

Detecting change points in VIX and S&P 500: A new approach to dynamic asset allocation

article

Dynamic portfolio optimization across hidden market regimes

Likelihood-based inference in temporal hierarchies

scientific article published in April 2024

Long Memory of Financial Time Series and Hidden Markov Models with Time-Varying Parameters

Stylised facts of financial time series and hidden Markov models in continuous time

article published in 2015

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