Search Results for author: David Greenwood

Found 7 papers, 3 papers with code

2T-POT Hawkes model for left- and right-tail conditional quantile forecasts of financial log-returns: out-of-sample comparison of conditional EVT models

no code implementations2 Feb 2022 Matthew F. Tomlinson, David Greenwood, Marcin Mucha-Kruczynski

We present an improved two-tailed peaks-over-threshold (2T-POT) Hawkes model that is adapted for conditional quantile forecasting in both the left and right tails of a univariate time series.

Time Series Time Series Analysis

Asymmetric excitation of left- and right-tail extreme events probed using a Hawkes model: application to financial returns

no code implementations24 Nov 2020 Matthew F. Tomlinson, David Greenwood, Marcin Mucha-Kruczynski

We construct a two-tailed peak-over-threshold Hawkes model that captures asymmetric self- and cross-excitation in and between left- and right-tail extreme values within a time series.

Attribute Time Series +1

Hybrid European MV-LV Network Models for Smart Distribution Network Modelling

1 code implementation29 Sep 2020 Matthew Deakin, David Greenwood, Sara Walker, Phil Taylor

A pair of European-style, integrated MV-LV circuits are presented, created by combining generic MV and real LV networks.

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