Search Results for author: Pavel Shevchenko

Found 3 papers, 0 papers with code

On the Parameter Estimation in the Schwartz-Smiths Two-Factor Model

no code implementations4 Aug 2021 Karol Binkowski, Peilun He, Nino Kordzakhia, Pavel Shevchenko

The obtained model parameter estimates are the conditional Maximum Likelihood Estimators (MLEs) evaluated within the KF.

Vocal Bursts Valence Prediction

Myopic robust index tracking with Bregman divergence

no code implementations21 Aug 2019 Spiridon Penev, Pavel Shevchenko, Wei Wu

Typically, a quadratic function is used to define the tracking error of a portfolio and the look back approach is applied to solve the index tracking problem.

Asset Management

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