Department of Economics and Business Economics

Wei Wei

  1. 2021
  2. Published

    Bagging weak predictors. / Hillebrand, Eric; Lukas, Manuel; Wei, Wei.

    In: International Journal of Forecasting, Vol. 37, No. 1, 01.2021, p. 237-254.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  3. 2018
  4. Published

    A generalized Schwartz model for energy spot prices — Estimation using a particle MCMC method. / Brix, Anne Floor; Lunde, Asger; Wei, Wei.

    In: Energy Economics, Vol. 72, 2018, p. 560-582.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  5. 2016
  6. Published

    The Geometric-VaR Backtesting Method. / Pelletier, Dennis; Wei, Wei.

    In: Journal of Financial Econometrics, Vol. 14, No. 4, 2016, p. 725-745.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  7. Published

    Comments on: Reflections on the Probability Space Induced by Moment Conditions with Implications for Bayesian Inference. / Wei, Wei; Lunde, Asger.

    In: Journal of Financial Econometrics, Vol. 14, No. 2, 2016, p. 278-283.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperComment/debate/letter to the editorResearchpeer-review

  8. 2015
  9. Published

    A Generalized Schwartz Model for Energy Spot Prices - Estimation using a Particle MCMC Method. / Lunde, Asger; Brix, Anne Floor; Wei, Wei.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2015.

    Research output: Working paper/Preprint Working paperResearch

  10. Published

    A Jump-Diffusion Model with Stochastic Volatility and Durations. / Wei, Wei; Pelletier, Denis.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2015.

    Research output: Working paper/Preprint Working paperResearch

  11. 2014
  12. Published

    A Stochastic Price Duration Model for Estimating High-Frequency Volatility. / Wei, Wei; Pelletier, Denis.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2014.

    Research output: Working paper/Preprint Working paperResearch

  13. Published

    The Geometric-VaR Backtesting Method. / Wei, Wei; Pelletier, Denis.

    2014. p. 1-28.

    Research output: Working paper/Preprint Working paperResearch

  14. 2013
  15. Published

    A Jump Diffusion Model for Volatility and Duration. / Wei, Wei; Pelletier, Denis.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2013.

    Research output: Working paper/Preprint Working paperResearch