Blar i NTNU Open på forfatter "Füss, Roland"
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Financial data science for exploring and explaining the ever-increasing amount of data
Wahlstrøm, Ranik Raaen (Doctoral theses at NTNU;2021:272, Doctoral thesis, 2021)Summary This thesis contributes to data-driven financial studies by arguing for two potential improvements of financial data science over pure financial econometrics. First, this thesis argues for letting a data-driven ... -
Modeling the multivariate dynamic dependence structure of commodity futures portfolios
Aepli, Matthias, D.; Füss, Roland; Henriksen, Tom Erik Sønsteng; Paraschiv, Florentina (Journal article, 2017)This paper examines the time-varying dependence structure of commodity futures portfolios based on multivariate dynamic copula models. The importance of accounting for time-variation is emphasized in the context of the ...