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Author

Orimar Sauri

2 papers indexed here

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Preprint Oct 2026

A Functional Representation of Credit Behavior for Probability of Default Modeling

This paper proposes a framework for modeling probability of default via functional data analysis. By representing a series of credit variables as functions, we investigate whether intra-monthly information improves default predictability in linear models. We further show how a range of widely used variables, among them...

Jonas Brunholm, Bjarne Højgaard, Thomas D. Nielsen et al. · 0 citations
Preprint Aug 2026

A Comparison of High-Dimensional Variable Selection Procedures for Electricity Spot Price Forecasting

It is suggested that the over-parameterization typically associated with regularization methods is not a necessary price for predictive accuracy in electricity price forecasting and that BMT offers researchers and practitioners a substantially more interpretable and computationally efficient alternative to shrinkage me...

Charisios Grivas, Mikkel Mandrup, Orimar Sauri · 0 citations

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