Laurent Callot : Citation Profile

Are you Laurent Callot?

Vrije Universiteit Amsterdam (80% share)
Aarhus Universitet (10% share)
Tinbergen Instituut (10% share)

4

H index

2

i10 index

92

Citations

RESEARCH PRODUCTION:

4

Articles

13

Papers

1

Chapters

RESEARCH ACTIVITY:

   7 years (2010 - 2017). See details.
   Cites by year: 13
   Journals where Laurent Callot has often published
   Relations with other researchers
   Recent citing documents: 26.    Total self citations: 7 (7.07 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pca622
   Updated: 2021-01-16    RAS profile: 2018-01-28    
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Relations with other researchers

Works with:

Kock, Anders (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Laurent Callot.

Is cited by:

Barigozzi, Matteo (7)

Medeiros, Marcelo (7)

Smeekes, Stephan (6)

Audrino, Francesco (5)

Hallin, Marc (4)

Paldam, Martin (4)

Camponovo, Lorenzo (4)

Wilms, Ines (3)

Härdle, Wolfgang (2)

Kascha, Christian (2)

Xu, Ning (2)

Cites to:

Bai, Jushan (8)

Kock, Anders (7)

Fan, Jianqing (6)

Watson, Mark (5)

Hansen, Bruce (5)

Reinhart, Carmen (4)

Rogoff, Kenneth (4)

SEO, MYUNG HWAN (4)

Ng, Serena (3)

Pötscher, Benedikt (3)

Hautsch, Nikolaus (3)

Main data

Where Laurent Callot has published?

Working Papers Series with more than one paper published# docs
Tinbergen Institute Discussion Papers / Tinbergen Institute4

Recent works citing Laurent Callot (2021 and 2020)

YearTitle of citing document
2020On LASSO for Predictive Regression. (2018). Lee, Ji Hyung ; Gao, Zhan ; Shi, Zhentao ; Hyung, JI. In: Papers. RePEc:arx:papers:1810.03140.

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2020Granger Causality Testing in High-Dimensional VARs: a Post-Double-Selection Procedure. (2019). Smeekes, Stephan ; Margaritella, Luca ; Hecq, Alain. In: Papers. RePEc:arx:papers:1902.10991.

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2020Bayesian MIDAS Penalized Regressions: Estimation, Selection, and Prediction. (2019). Mogliani, Matteo. In: Papers. RePEc:arx:papers:1903.08025.

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2020Time series models for realized covariance matrices based on the matrix-F distribution. (2019). Zhu, Ke ; Li, Wai Keung ; Jiang, Feiyu ; Zhou, Jiayuan. In: Papers. RePEc:arx:papers:1903.12077.

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2020Data-driven covariance estimators for high-dimensional minimum-variance portfolios. (2019). Steinert, Rick ; Shivarova, Antoniya ; Husmann, Sven . In: Papers. RePEc:arx:papers:1910.13960.

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2020Estimation and HAC-based Inference for Machine Learning Time Series Regressions. (2019). Striaukas, Jonas ; Ghysels, Eric ; Babii, Andrii. In: Papers. RePEc:arx:papers:1912.06307.

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2020A dynamic conditional approach to portfolio weights forecasting. (2020). Palandri, Alessandro ; Gallo, Giampiero M ; Cipollini, Fabrizio. In: Papers. RePEc:arx:papers:2004.12400.

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2020Machine learning time series regressions with an application to nowcasting. (2020). Babii, Andrii ; Striaukas, Jonas ; Ghysels, Eric. In: Papers. RePEc:arx:papers:2005.14057.

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2020Lasso Inference for High-Dimensional Time Series. (2020). Smeekes, Stephan ; Wilms, Ines ; Adamek, Robert. In: Papers. RePEc:arx:papers:2007.10952.

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2020Dimension Reduction for High Dimensional Vector Autoregressive Models. (2020). Hecq, Alain ; Cubadda, Gianluca. In: Papers. RePEc:arx:papers:2009.03361.

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2020Regularization Approach for Network Modeling of German Power Derivative Market. (2020). L'Opez, Brenda ; Hardle, Wolfgang Karl ; Chen, Shi. In: Papers. RePEc:arx:papers:2009.09739.

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2020Time-varying Forecast Combination for High-Dimensional Data. (2020). Maung, Kenwin ; Chen, Bin. In: Papers. RePEc:arx:papers:2010.10435.

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2020Learning from Forecast Errors: A New Approach to Forecast Combinations. (2020). Seregina, Ekaterina ; Lee, Tae-Hwy. In: Papers. RePEc:arx:papers:2011.02077.

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2020A Basket Half Full: Sparse Portfolios. (2020). Seregina, Ekaterina. In: Papers. RePEc:arx:papers:2011.04278.

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2020Sparse vector error correction models with application to cointegration‐based trading. (2020). Wang, Xiaohang ; Lu, Renjie . In: Australian & New Zealand Journal of Statistics. RePEc:bla:anzsta:v:62:y:2020:i:3:p:297-321.

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2020Forecasting large covariance matrix with high-frequency data using factor approach for the correlation matrix. (2020). Tse, Yiu-Kuen ; Dong, Yingjie. In: Economics Letters. RePEc:eee:ecolet:v:195:y:2020:i:c:s016517652030286x.

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2020Statistical inferences for realized portfolio weights. (2020). Lazariv, Taras ; Seifert, Miriam Isabel ; Schmid, Wolfgang ; Golosnoy, Vasyl. In: Econometrics and Statistics. RePEc:eee:ecosta:v:14:y:2020:i:c:p:49-62.

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2020Factor state–space models for high-dimensional realized covariance matrices of asset returns. (2020). Gribisch, Bastian ; Liesenfeld, Roman ; Hartkopf, Jan Patrick. In: Journal of Empirical Finance. RePEc:eee:empfin:v:55:y:2020:i:c:p:1-20.

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2020Volatility spillovers in commodity markets: A large t-vector autoregressive approach. (2020). Wilms, Ines ; Barbaglia, Luca ; Croux, Christophe. In: Energy Economics. RePEc:eee:eneeco:v:85:y:2020:i:c:s0140988319303500.

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2020On realized volatility of crude oil futures markets: Forecasting with exogenous predictors under structural breaks. (2020). Zhang, Dayong ; Klein, Tony ; Ji, Qiang ; Luo, Jiawen ; Todorova, Neda. In: Energy Economics. RePEc:eee:eneeco:v:89:y:2020:i:c:s0140988320301213.

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2020Realized volatility forecast with the Bayesian random compressed multivariate HAR model. (2020). Chen, Langnan ; Luo, Jiawen. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:3:p:781-799.

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2020Bayesian dynamic variable selection in high dimensions. (2020). Korobilis, Dimitris ; Koop, Gary. In: Working Papers. RePEc:gla:glaewp:2020_11.

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2020A Bayesian Covariance Graph And Latent Position Model For Multivariate Financial Time Series. (2020). Ahelegbey, Daniel Felix ; Carvalho, Luis ; Kolaczyk, Eric D. In: DEM Working Papers Series. RePEc:pav:demwpp:demwp0181.

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2020Bayesian dynamic variable selection in high dimensions. (2020). Korobilis, Dimitris ; Koop, Gary. In: MPRA Paper. RePEc:pra:mprapa:100164.

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2020Modified LASSO estimators for time series regression models with dependent disturbances. (2020). Taniguchi, Masanobu ; Xue, Yujie. In: Statistical Methods & Applications. RePEc:spr:stmapp:v:29:y:2020:i:4:d:10.1007_s10260-020-00506-w.

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2020Learning from Forecast Errors: A New Approach to Forecast Combination. (2020). Seregina, Ekaterina ; Lee, Tae-Hwy. In: Working Papers. RePEc:ucr:wpaper:202024.

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Works by Laurent Callot:

YearTitleTypeCited
2010Natural funnel asymmetries. A simulation analysis of the three basic tools of meta analysis In: Economics Working Papers.
[Full Text][Citation analysis]		paper4
2010A Bootstrap Cointegration Rank Test for Panels of VAR Models In: CREATES Research Papers.
[Full Text][Citation analysis]		paper1
2012Oracle Inequalities for High Dimensional Vector Autoregressions In: CREATES Research Papers.
[Full Text][Citation analysis]		paper51
2015Oracle inequalities for high dimensional vector autoregressions.(2015) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 51		article
2012Oracle Efficient Estimation and Forecasting with the Adaptive LASSO and the Adaptive Group LASSO in Vector Autoregressions In: CREATES Research Papers.
[Full Text][Citation analysis]		paper7
2014Vector Autoregressions with Parsimoniously Time Varying Parameters and an Application to Monetary Policy In: CREATES Research Papers.
[Full Text][Citation analysis]		paper2
2015Vector Autoregressions with parsimoniously Time Varying Parameters and an Application to Monetary Policy.(2015) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2		paper
2014Estimation and Forecasting of Large Realized Covariance Matrices and Portfolio Choice In: CREATES Research Papers.
[Full Text][Citation analysis]		paper2
2014Estimation and Forecasting of Large Realized Covariance Matrices and Portfolio Choice.(2014) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2		paper
2014Deterministic and stochastic trends in the Lee-Carter mortality model In: CREATES Research Papers.
[Full Text][Citation analysis]		paper5
2016Deterministic and stochastic trends in the Lee–Carter mortality model.(2016) In: Applied Economics Letters.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5		article
2015Sharp Threshold Detection Based on Sup-norm Error rates in High-dimensional Models In: CREATES Research Papers.
[Full Text][Citation analysis]		paper1
2017Sharp Threshold Detection Based on Sup-Norm Error Rates in High-Dimensional Models.(2017) In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1		article
2015Sharp Threshold Detection based on Sup-Norm Error Rates in High-dimensional Models.(2015) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1		paper
2015Regularized Estimation of Structural Instability in Factor Models: The US Macroeconomy and the Great Moderation In: CREATES Research Papers.
[Full Text][Citation analysis]		paper0
2016Regularized Estimation of Structural Instability in Factor Models: The US Macroeconomy and the Great Moderation.(2016) In: Advances in Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0		chapter
2015Regularized Estimation of Structural Instability in Factor Models: The US Macroeconomy and the Great Moderation.(2015) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0		paper
2017Modeling and Forecasting Large Realized Covariance Matrices and Portfolio Choice In: Journal of Applied Econometrics.
[Full Text][Citation analysis]		article19

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