Publications 2000-2004

Publications 2004

Books

  • Madsen, Henrik; Nielsen, Jan Nygaard; Lindström, Erik; Baadsgaard, Mikkel; Holst, Jan. Statistics in Finance. Lund University : Centre for Mathematical Sciences, 2004. 300 p.

Journal articles

  • Patrick, Mary Evans; Christiansen, Lasse Engbo; Wainø, Michael; Ethelberg, Steen; Madsen, Henrik; Wegener, Henrik Caspar. Effects of Climate on Incidence of Campylobacter spp. in Humans and Prevalence in Broiler Flocks in Denmark. In: Applied and Environmental Microbiology, Vol. 70, No. 12, 2004, p. 7474-7480. (pdf)
  • Tornøe, Christoffer Wenzel; Agersø, Henrik; Nielsen, Henrik Aalborg; Madsen, Henrik; Jonsson, E. Niclas. Population Pharmacokinetic Modeling of a Subcutaneous Depot for GnRH Antagonist Degarelix. In: Pharmaceutical Research, Vol. 21, No. 4, 2004, p. 574-584. (pdf)
  • Tornøe, Christoffer Wenzel; Agersø, Henrik; Madsen, Henrik; Jonsson, E. Niclas; Nielsen, Henrik Aalborg. Non-linear mixed-effects pharmacokinetic/pharmacodynamic modelling in NLME using differential equations. In: Computer Methods and Programs in Biomedicine, Vol. 76, No. 1, 2004, p. 31-40. (pdf)
  • Tornøe, Christoffer Wenzel; Jacobsen, Judith L.; Madsen, Henrik. Grey-box pharmacokinetic/pharmacodynamic modelling of a euglycaemic clamp study. In: Journal of Mathematical Biology, Vol. 48, No. 6, 2004, p. 591-604. (pdf)
  • Tornøe, Christoffer Wenzel; Jacobsen, Judith L.; Pedersen, Oluf; Hansen, Torben; Madsen, Henrik. Grey-Box Modelling of Pharmacokinetic /Pharmacodynamic Systems. In: Journal of Pharmacokinetics and Pharmacodynamics, Vol. 31, No. 5, 2004, p. 401-417. (pdf)
  • Sørensen, Jacob Viborg Tornfeldt; Madsen, Henrik. Data assimilation in hydrodynamic modelling: on the treatment of non-linearity and bias. In: Stochastic Environmental Research and Risk Assessment, Vol. 18, No. 4, 08.2004, p. 228-244. (pdf)
  • Tornøe, Christoffer Wenzel; Agersø, Henrik; Nielsen, Henrik Aalborg; Madsen, Henrik; Jonsson, E. Niclas. Pharmacokinetic/Pharmacodynamic Modelling of GnRH Antagonist Degarelix: A Comparison of the Non-linear Mixed-Effects Programs NONMEM and NLME. In: Journal of Pharmacokinetics and Pharmacodynamics, Vol. 31, No. 6, 2004, p. 441-461. (pdf)
  • Kristensen, Niels Rode; Madsen, Henrik; Jørgensen, Sten Bay. Parameter Estimation in Stochastic Grey-Box Models. In: Automatica, Vol. 40, No. 2, 2004, p. 225-237. (pdf)
  • Kristensen, Niels Rode; Madsen, Henrik; Jørgensen, Sten Bay. A Method for Systematic Improvement of Stochastic Grey-Box Models. In: Computers & Chemical Engineering, Vol. 28, No. 8, 2004, p. 1431-1449. (pdf)
  • Sørensen, Jacob Viborg Tornfeldt; Madsen, Henrik; Madsen, Henrik. Efficient Kalman filter techniques for the assimilation of tide gauge data in three-dimensional modeling of the North Sea and Baltic Sea system. In: Journal of Geophysical Research – Part C – Ocean, Vol. 109, No. 3, 2004, p. 14. (pdf)

Article in proceedings

  • Madsen, Henrik; Thyregod, Poul; Popentiu, Florin; Albeanu, Grigore; Serbanescu, Liviu. A Decision Support System for Pollution Control in Cement Plants,. Probabilistic Safety Assessment and Management, PSAM 07 – ESREL’04. Springer, 2004. p. 1784-1789.
  • Madsen, Henrik; Thyregod, Poul; Popentiu, Florin; Grigore, Albeanu. Computer Aided Modeling and Pollution Control in Cement Plants. Fourth Annual Meeting of ENBIS. 2004.
  • Giebel, G.; Badger, J.; Landberg, L.; Nielsen, Henrik Aalborg, orlov 31.07.2008; Madsen, Henrik; Sattler, K.; Feddersen, H. Wind Power Forecasting Using Ensembles. Proceedings of the 2004 Global Windpower Conference and Exhibition. 2004.
  • Tornøe, Christoffer Wenzel; Agersø, Henrik; Nielsen, Henrik Aalborg; Madsen, Henrik; Jonsson, E. Niclas. Population PK/PD modelling framework for systematic model improvement. Rosenön meeting, Stockholm. 2004.
  • Tornøe, Christoffer Wenzel; Agersø, Henrik; Overgaard, Rune Viig; Nielsen, Henrik Aalborg; Madsen, Henrik; Jonsson, E. Niclas. Stochastic Differential Equation in NONMEM. PAGE meeting, Uppsala. 2004.
  • Tornøe, Christoffer Wenzel; Agersø, Henrik; Overgaard, Rune Viig; Nielsen, Henrik Aalborg; Madsen, Henrik; Jonsson, E. Niclas. Stochastic Differential Equation in NONMEM: A diagnostic tool for pinpointing model deficiencies. ECPAG meeting, Rockville. 2004.
  • Sørensen, Poul; Hansen, Anca D.; Thomsen, Kenneth; Madsen, Henrik; Nielsen, Henrik Aalborg; Poulsen, Niels Kjølstad; Iov, Florin; Blaabjerg, Frede; Okkels, Bernd. Simulation and optimization of wind farm controller. European Wind Energy Conference and Exhibition, London. I, 2004.
  • Nielsen, Henrik Aalborg; Madsen, Henrik; Nielsen, Torben Skov; Badger, J.; Giebel, G.; Landberg, L.; Sattler, K.; Feddersen, H. Wind Power Ensemble Forecasting. Proceedings of the 2004 Global Windpower Conference and Exhibition. 2004.
  • Nielsen, Henrik Aalborg; Madsen, Henrik. Modelling the Heat Consumption in District Heating Systems using a Grey-box approach. Proceedings of the International Workshop on Dynamic Analysis Methods Applied to Energy Performance Assessment of Buildings. 2004.
  • Nielsen, Henrik Aalborg; Madsen, Henrik; Sørensen, Poul. Ultra-short term wind speed forecasting. Proceedings of the European Wind Energy Conference & Exhibition. 2004.
  • Nielsen, Henrik Aalborg; Madsen, Henrik; Nielsen, Torben Skov. Using quantile regression to extend an existing wind power forecasting system with probabilistic forecasts. Scientific Proceedings of the European Wind Energy Conference & Exhibition. 2004.
  • Madsen, Henrik; Kariniotakis, G.; Nielsen, Henrik Aalborg; Nielsen, Torben Skov; Pinson, Pierre. A protocol for standardizing the performance evaluation of short-term wind power prediction models. Proceedings of the 2004 Global Windpower Conference and Exhibition. 2004.

Ph.D. theses

  • Sørensen, Jacob Viborg Tornfeldt; Madsen, Henrik (Supervisor); Madsen, Henrik (Supervisor). Data Assimilation in Hydrodynamic Models of Continental Shelf Seas. 2004. (pdf)
  • Christiansen, Lasse Engbo; Madsen, Henrik (Supervisor). Nonlinear time series analysis of zoonoses. 2004. (pdf)

Reports

  • Sørensen, Jacob Viborg Tornfeldt; Madsen, Henrik; Madsen, Henrik. Parameter estimation in a hydrodynamic model of the North Sea and Baltic Sea. 2004.
  • Nielsen, Henrik Aalborg; Madsen, Henrik; Nielsen, Torben Skov; Badger, Jake; Giebel, Gregor; Landberg, Lars; Sattler, Kai; Feddersen, Henrik. Comparison of ensemble forecasts with the measurements from the meteorological mast at Risø National Laboratory. 2004.
  • Nielsen, Henrik Aalborg; Madsen, Henrik. Forecasting wind speeds on the minute time-scale using up-stream information. 2004.

Publications 2003

Book chapters

  • Kristensen, Niels Rode; Madsen, Henrik; Jørgensen, Sten Bay. An investigation of some tools for process model identification for prediction. Dynamic Model Development: Methods, Theory and Applications. Elsevier, 2003. p. 41-62.

Journal articles

  • Kristensen, N.R.; Madsen, Henrik; Jørgensen, Sten Bay. A unified framefowk for systematic model improvement. In: Process Systems Engineering, Vol. 15, 2003, p. 1292-1297. (pdf)
  • Haahr, Anne-Mette; Madsen, Henrik; Smedsgaard, Jørn; Bredie, W.L.P.; Stahnke, Louise Heller; Refsgaard, Hanne. Flavor release measurement by atmospheric pressure chemical ionization ion trap mass spectrometry, construction of interface and mathematical modeling of release profiles. In: Analytical Chemistry, Vol. 75, No. 3, 2003, p. 655-662. (pdf)

Article in proceedings

  • Kristensen, Niels Rode; Madsen, Henrik; Jørgensen, Sten Bay. Stochastic Grey-Box Modelling as a Tool for Improving the Qualilty of First Engineering Principles Models. Proceedings of the International Symposium on Advanced Control of Chemical Processes. 2003.
  • Christiansen, Lasse Engbo; Evans, M. C.; Waino, M.; Ethelberg, S.; Madsen, Henrik; Wegener, H. C. Climate as a predictor of prevalence of compylobacter spp. in humans and broilers in Denmark. Conference on Campylobacter, Helecobacter and Related Organisms, Aarhus, Denmark, October. 2003.
  • Kristensen, Niels Rode; Madsen, Henrik; Jørgensen, Sten Bay. Identification of Continuous Time Models Using Discrete Time Data. SYSID2003, Rotterdam, Holland – Aug. 2003. 2003.
  • Sørensen, Jacob V.T.; Madsen, Henrik. Data assimilation in an operational forecast system of the North Sea-Baltic Sea system. Building the European Capacity in Operational Oceanography: Proceedings of the Third International Conference of EuroGOOS. Elsevier Science & Technology Books, 2003.
  • Madsen, Henrik; Jimenez, M. J.; Andersen, Klaus Kaae. How to get physical parameters using MATLAB. Conference on Dynamic Analysis and Modelling, DAME-BC, Ispra, November. 2003.
  • Tornøe, Christoffer Wenzel; Agersø, Henrik; Nielsen, Henrik Aalborg; Madsen, Henrik; Jonsson, E. Niclas. Population pharmacokinetic modelling of a subculaneous depot for GnRH antagonist degarelix. PAGE meeting, Verona, June. 2003.
  • Holst, Jan; Lindström, Erik; Madsen, Henrik; Nielsen, Henrik Aalborg. Model Validation in Non-Linear Continuous-Discrete Grey-Box Models. Proceedings of the 13th IFAC Symposium on System Identification, SYSID 2003, Rotterdam, The Netherlands, August. 2003.

Conference abstract for conferences

  • Tornøe, Christoffer Wenzel; Agersø, Henrik; Nielsen, Henrik Aalborg; Madsen, Henrik; Jonsson, E. Niclas. Population pharmacokinetic modeling of a subcutaneous depot for GnRH antagonist degarelix. 2003. Abstract from PAGE Meeting 2003, Verona, Italy.
  • Tornøe, Christoffer Wenzel; Agersø, Henrik; Nielsen, Henrik Aalborg; Madsen, Henrik; Jonsson, E. Niclas. Non-Linear Mixed-Effects Models in NLME with Differential Equations. 2003. Abstract from PAGE Meeting 2003, Verona, Italy.

Ph.D. theses

  • Joensen, Alfred K.; Madsen, Henrik (Supervisor); Landberg, Lars (Supervisor). Short-term wind power prediction. 2003. (pdf)

Reports

  • Nolsøe, Kim; Kessler, Mathieu; Madsen, Henrik. Estimating Functions with Prior Knowledge, (EFPK) for diffusions. 2003. (pdf)
  • Nielsen, Henrik Aalborg; Madsen, Henrik. Kalibrering af COD-sensor (BioView) placeret i indløb til renseanlæg. 2003.
  • Nielsen, Henrik Aalborg; Madsen, Henrik. Adaptiv kalibrering af COD-sensor baseret på fluorescens-spektre. 2003.
  • Nielsen, Henrik Aalborg; Madsen, Henrik. Fluorescens-spektre målt vha. BioView i indløbet på rensningsanlæg. 2003.
  • Nielsen, Henrik Aalborg; Madsen, Henrik. Teksturdata til beregning af friktionsværdier – anvendelse på vejoverflader?. 2003.

Reviews

  • Landberg, Lars; Giebel, Gregor; Nielsen, Henrik Aalborg; Nielsen, Torben Skov; Madsen, Henrik. Short-term Prediction – An Overview. In: Wind Energy, Vol. 6, No. 3, 2003, p. 273-280.(pdf)

Publications 2002

Journal articles

  • Kristensen, Niels Rode; Madsen, Henrik; Jørgensen, Sten Bay. Using continuous time stochstic modelling and nonparametric statistics to improve the quality of first principles models. In: Computer – Aided Chemical Engineering, Vol. 10, 2002, p. 901-906. (pdf)
  • Øjelund, Henrik; Madsen, Henrik; Thyregod, Poul. Calibration with empirically weighted mean subset. In: Applied Spectroscopy, Vol. 56, No. 7, 2002, p. 887-896. (pdf)
  • Øjelund, Henrik; Brown, P. J.; Madsen, Henrik; Thyregod, Poul. Prediction based on mean subset. In: Technometrics, Vol. 44, No. 4, 2002, p. 369-378. (pdf)
  • Bechmann, Henrik; Nielsen, Marinus K.; Poulsen, Niels Kjølstad; Madsen, Henrik. Grey-box modelling of aeration tank settling. In: Water research, Vol. 36, No. 7, 2002, p. 1887-1895. (pdf)

Article in proceedings

  • Nielsen, Torben Skov; Madsen, Henrik; Nielsen, Henrik Aalborg. Prediction of Wind Power Using Time-varying Coefficient-functions. Proceedings of the 15th IFAC World Congress on Automatic Control. Barcelona, Spain, 2002.
  • Nielsen, Henrik Aalborg; Nielsen, Torben Skov; Madsen, Henrik. Using meteorological forecasts for short term wind power forecasting. Proceedings of the IEA R&D Wind Annex XI Joint Action Symposium on Wind Forecasting Techniques. 2002. p. 49-58.
  • Giebel, G.; Landberg, L.; Nielsen, Torben Skov; Madsen, Henrik. Zephyr – The Next Generation Prediction System. Proceedings of the 2002 Global Windpower Conference. 2002.
  • Nielsen, Torben Skov; Madsen, Henrik. Control of Supply Temperature in District Heating Systems. Proceedings of the 8th International Symposium on District heating and Cooling. 2002. (pdf)
  • Nielsen, Torben Skov; Madsen, Henrik; Nielsen, Henrik Aalborg; Giebel, G.; Landberg, L. Prediction of Regional Wind Power. Proceedings of the 2002 Global Windpower Conference, Paris, France. 2002. (pdf)
  • Nielsen, Henrik Aalborg; Nielsen, Torben Skov; Madsen, Henrik. On On-line Systems for Short-term Forecasting for Energy Systems. Proceedings of the OR 2002 conference. Springer, 2002. p. 265-271.
  • Marti, I.; Nielsen, Torben Skov; Madsen, Henrik; Roldan, A.; Perez, S. Improving Prediction Models in Complex Terrain. Proceedings of the 2002 Global Windpower Conference, Paris (FR), 2-5 Apr. 2002.
  • Andersen, Klaus Kaae; Madsen, Henrik; Nielsen, Henrik Aalborg. Optimal control of mircro CHP. System and Simulations in Buildings, Liege, Belgium. 2002.
  • Andersen, Klaus Kaae; Madsen, Henrik; Knop, Ole. Modeling of a thermostatic valve with hysteresis effects. 15. World Congress on Automatic Control, Barcelona, July 21-26. 2002.
  • Sørensen, Jacob V.T.; Madsen, Henrik. Towards an operational data assimilation system for a three-dimensional hydrodynamic model. Hydroinformatics 2000, Cardiff 1-5 July 20. 2002.

Conference abstract for conferences

  • Tornøe, Christoffer Wenzel; Jacobsen, Judith L.; Madsen, Henrik. Grey-box modelling of insulin clamp study. 2002. Abstract from PAGE meeting, Paris, .

Reports

  • Nielsen, Torben Skov; Madsen, Henrik; Holst, Jan; Søgaard, Henning T. Predictive control of supply temperature in district heating systems. 2002. (pdf)
  • Nielsen, Henrik Aalborg; Madsen, Henrik. Anvendelse af teksturdata til beregning af friktionsværdier for vejbelægninger. 2002.
  • Nielsen, Henrik Aalborg; Madsen, Henrik. Analyse og simulering af prædiktionsfejl for vindenergiproduktion ved indmelding til NordPool. 2002.

Publications 2001

Journal articles

  • Øjelund, Henrik; Madsen, Henrik; Thyregod, Poul. Calibration with Absolute Shrinkage. In: Journal of Chemometrics, Vol. 15, No. 6, 07.2001, p. 497-510. (pdf)
  • Nielsen, Jan Nygaard; Madsen, Henrik. Applying the EKF to stochastic differential equations with level effects. In: Automatica, Vol. 37, No. 1, 2001, p. 107-112. (pdf)
  • Jonsdottir, Harpa; Jacobsen, Judith L.; Madsen, Henrik. A grey box model describing the hydraulics in a creek. In: Environmetrics, Vol. 12, No. 4, 2001, p. 347-356. (pdf)
  • Nielsen, Henrik Aalborg; Madsen, Henrik. A Generalization of Some Classical Time Series Tools. In: Computational Statistics & Data Analysis, Vol. 37, No. 1, 2001, p. 13-31. (pdf)
  • Nielsen, Torben Skov; Nielsen, Henrik Aalborg; Madsen, Henrik. Intelligent Control. In: Danish Board of District Heating — News from DBDH, No. 3, 2001, p. 14-16. (pdf)

Article in proceedings

  • Kristensen, N.R.; Madsen, Henrik; Jørgensen, Sten Bay. Computer Aided Continuous Time Stochastic Process Modelling. European Symposium on Computer Aided Process Engineering – 11: 34 European Symposium of the Working Party on Computer Aided Process Engineering. 2001. p. 189-194 (Computer – Aided Chemical Engineering, Vol. 9).(pdf)
  • Nielsen, Torben Skov; Madsen, Henrik; Nielsen, Henrik Aalborg; Landberg, L.; Giebel, G. Zephyr – the prediction models.. European Wind Energy Conference 2001, Copenhagen. WIP-Renewable Energies/ETA, 2001. (pdf)
  • Marti, I.; Nielsen, Torben Skov; Madsen, Henrik; Navarro, J.; Barquero, C.G. Prediction models in complex terrain.. European Wind Energy Conference, Copenhagen. WIP-Renewable Energies/ETA, 2001.
  • Giebel, G.; Landberg, L.; Nielsen, Torben Skov; Madsen, Henrik. Zephyr – the next generation prediction.. the European Wind Energy Conference, Copenhagen. WIP-Munich and ETA-Florence, 2001.
  • Nielsen, Henrik Aalborg; Rasmussen, Michael; Madsen, Henrik; Jensen et al., Niels-Erik (Editor). Calibration with near-continuous spectral measurements. 23. Symposium i Anvendt Statistik, Økonomisk Institut, Københavns Universitet / Danmarks Statistik. 2001. p. 255-264.(pdf)
  • Sørensen, Jacob Viborg Tornfeldt; Madsen, Henrik. Data Assimilation of tidal gauge data in a three-dimensional coastal model. DHI Software Conference, 6-8 June, Scanticon Conference Centre, Helsingør, Denmark. 2001.

Ph.D. theses

  • Thyregod, Peter; Spliid, Henrik (Supervisor); Melgaard, Henrik (Supervisor); Madsen, Henrik (Supervisor). Modelling and monitoring in injection molding. 2001. (pdf)
  • Andersen, Klaus Kaae; Madsen, Henrik (Supervisor). Stochastic Modelling of Energy Systems. 2001. 198 p. (IMM-PHD-2001-79). (pdf)

Posters

  • Nielsen, Henrik Aalborg; Rasmussen, Michael; Madsen, Henrik. Spectral transformation and range-selection in multivariate calibration. 2001. Poster session presented at 7th Scandinavian Symposium on Chemometrics / Book of Abstracts, .

Reports

  • Nielsen, Henrik Aalborg; Madsen, Henrik. Måling af COD i indløbet på rensningsanlæg på basis af fluorescens-spektre fra BioView. 2001.
  • Le, T. T.D.; Madsen, Henrik; Rasmussen, B.; Sømod, B. Modellering og analyse af kvælstof i Randers Fjord. 2001.

Publications 2000

Journal articles

  • Nielsen, Henrik Aalborg; Nielsen, Torben Skov; Joensen, Alfred K.; Madsen, Henrik; Holst, J. Tracking time-varying coefficient-functions. In: International Journal of Adaptive Control and Signal Processing, Vol. 14, No. 8, 2000, p. 813-828. (pdf)
  • Andersen, Klaus Kaae; Madsen, Henrik; Hansen, Lars Henrik. Modelling the heat dynamics of a building using stochastic differential equations. In: Energy and Buildings, Vol. 31, No. 1, 2000, p. 13-24. (pdf)
  • Nielsen, Jan Nygaard; Vestergaard, M.; Madsen, Henrik. Estimation in continuous-time stochastic| volatility models using nonlinear filters. In: International Journal of Theoretical and Applied Finance, Vol. 3, No. 2, 2000, p. 279-308. (pdf)
  • Joensen, Alfred Karsten; Nielsen, Henrik Aalborg; Nielsen, Torben Skov; Madsen, Henrik. Tracking time-varying parameters with local regression. In: Automatica, Vol. 36, No. 8, 2000, p. 1199-1204. (pdf)
  • Nielsen, Jan Nygaard; Madsen, Henrik; Young, P. C. Parameter Estimation in Stochastic Differential Equations; An Overview. In: Annual Reviews in Control, Vol. 24, 2000, p. 83-94. (pdf)
  • Bechmann, Henrik; Madsen, Henrik; Poulsen, Niels Kjølstad; Nielsen, M. K. Grey Box Modelling of First Flush and Incoming Wastewater at a Wastewater Treatment Plant. In: Environmetrics, Vol. 11, 2000, p. 1-12. (pdf)
  • Andersen, Klaus Kaae; Madsen, Henrik; Palsson, Olafur Petur; Knudsen, Lars. Experimental design and setup for heat exchanger modelling. In: International Journal of Heat Exchangers, Vol. 1, No. 2, 2000. (pdf not available at this time)
  • Andersen, Klaus Kaae; Madsen, Henrik. Modelling the heat dynamics of buildings using stochastic. In: Energy and Buildings, Vol. 31, No. 1, 2000, p. 13-24. (pdf)

Article in proceedings

  • Nielsen, Torben Skov; Joensen, Alfred K.; Madsen, Henrik; Landberg, Lars; Giebel, Gregor. Short-term prediction towards the 21st century. Wind energy 1999: Wind power comes of age. ed. / P. Hinson. Bury St Edmunds : Institution of Mechanical Engineers, 2000. p. 371-376.
  • Giebel, Gregor; Landberg, Lars; Joensen, Alfred K.; Nielsen, Torben Skov; Madsen, Henrik. The Zephyr-Project – The Next Generation Prediction System. Procedings of Wind Power for the 21st Century, Kassel, Germany, 25-27 September. 2000.
  • Madsen, Henrik; Landberg, L.; Geibel, G.; Nielsen, Henrik Aalborg, orlov 31.07.2008. Zephyr and short-term wind power prediction models. In Wind power for the 21st century. Kassel, 2000.
  • Nielsen, Torben Skov; Madsen, Henrik. WPPT – A Tool for Wind Power Prediction. Prediction.Procedings of Wind Power for the 21st Century, Kassel, Germany, 25-27 September 2000. Kassel, Germany, 2000.

Reports

  • Nielsen, Henrik Aalborg, orlov 31.07.2008; Madsen, Henrik; Nielsen, Torben Skov. Load scheduling for decentralized CHP plants. Informatics and Mathematical Modelling, Technical University of Denmark, DTU, 2000.
  • Nielsen, Henrik Aalborg, orlov 31.07.2008; Madsen, Henrik. Predicting the Heat Consumption in District Heating Systems using Meteorological Forecasts. Informatics and Mathematical Modelling, Technical University of Denmark, DTU, 2000.

Other contributions

  • Baadsgaard, Mikkel; Nielsen, Jan Nygaard; Madsen, Henrik. Estimating Multivariate Exponentail-Affine Term Structure Models from Coupon Bound Prices using Nonlinear Filtering. In: Econometric Journal, Vol. 3, 2000, p. 1-20. (pdf)