Anders Bredahl Kock : Citation Profile


Are you Anders Bredahl Kock?

Oxford University (90% share)
Aarhus Universitet (5% share)
Aarhus Universitet (5% share)

9

H index

9

i10 index

284

Citations

RESEARCH PRODUCTION:

14

Articles

21

Papers

RESEARCH ACTIVITY:

   11 years (2009 - 2020). See details.
   Cites by year: 25
   Journals where Anders Bredahl Kock has often published
   Relations with other researchers
   Recent citing documents: 93.    Total self citations: 16 (5.33 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pko276
   Updated: 2023-01-28    RAS profile: 2019-11-11    
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Relations with other researchers


Works with:

Callot, Laurent (2)

Caner, Mehmet (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Anders Bredahl Kock.

Is cited by:

Claveria, Oscar (10)

Audrino, Francesco (10)

Shi, Zhentao (10)

Barigozzi, Matteo (10)

Smeekes, Stephan (9)

Brownlees, Christian (8)

Medeiros, Marcelo (7)

Camponovo, Lorenzo (7)

Striaukas, Jonas (6)

Wilms, Ines (5)

Babii, Andrii (5)

Cites to:

Fan, Jianqing (25)

Chernozhukov, Victor (17)

Leeb, Hannes (15)

Pötscher, Benedikt (15)

Caner, Mehmet (10)

Marcellino, Massimiliano (9)

Teräsvirta, Timo (8)

White, Halbert (8)

Hansen, Christian (7)

Tetenov, Aleksey (7)

Swanson, Norman (6)

Main data


Where Anders Bredahl Kock has published?


Journals with more than one article published# docs
Journal of Econometrics3
Econometric Reviews3
Econometric Theory2

Working Papers Series with more than one paper published# docs
Papers / arXiv.org2
Tinbergen Institute Discussion Papers / Tinbergen Institute2

Recent works citing Anders Bredahl Kock (2022 and 2021)


YearTitle of citing document
2021Machine Learning Time Series Regressions With an Application to Nowcasting. (2021). Striaukas, Jonas ; Ghysels, Eric ; Babii, Andrii. In: LIDAM Discussion Papers LFIN. RePEc:ajf:louvlf:2021004.

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2021On 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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2022Many Average Partial Effects: with An Application to Text Regression. (2019). CHIANG, HAROLD. In: Papers. RePEc:arx:papers:1812.09397.

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2021Omitted variable bias of Lasso-based inference methods: A finite sample analysis. (2021). Zhu, Ying ; Wuthrich, Kaspar. In: Papers. RePEc:arx:papers:1903.08704.

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2021Forward-Selected Panel Data Approach for Program Evaluation. (2019). Huang, Jingyi ; Shi, Zhentao. In: Papers. RePEc:arx:papers:1908.05894.

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2021Estimation 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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2021Regularized Estimation of High-Dimensional Vector AutoRegressions with Weakly Dependent Innovations. (2020). Mendes, Eduardo F ; Medeiros, Marcelo C ; Masini, Ricardo P. In: Papers. RePEc:arx:papers:1912.09002.

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2021Oracle Efficient Estimation of Structural Breaks in Cointegrating Regressions. (2020). Schweikert, Karsten. In: Papers. RePEc:arx:papers:2001.07949.

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2022Sharpe Ratio in High Dimensions: Cases of Maximum Out of Sample, Constrained Maximum, and Optimal Portfolio Choice. (2020). Vasconcelos, Gabriel ; Medeiros, Marcelo ; Caner, Mehmet. In: Papers. RePEc:arx:papers:2002.01800.

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2022Wild Bootstrap Inference for Penalized Quantile Regression for Longitudinal Data. (2020). Parker, Thomas ; Lamarche, Carlos. In: Papers. RePEc:arx:papers:2004.05127.

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2022Treatment recommendation with distributional targets. (2020). Veliyev, Bezirgen ; Preinerstorfer, David ; Kock, Anders Bredahl. In: Papers. RePEc:arx:papers:2005.09717.

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2022Lasso Inference for High-Dimensional Time Series. (2020). Smeekes, Stephan ; Wilms, Ines ; Adamek, Robert. In: Papers. RePEc:arx:papers:2007.10952.

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2021Machine Learning Panel Data Regressions with an Application to Nowcasting Price Earnings Ratios. (2020). Striaukas, Jonas ; Ghysels, Eric ; Ball, Ryan T ; Babii, Andrii. In: Papers. RePEc:arx:papers:2008.03600.

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2022Dimension Reduction for High Dimensional Vector Autoregressive Models. (2020). Hecq, Alain ; Cubadda, Gianluca. In: Papers. RePEc:arx:papers:2009.03361.

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2021Online Action Learning in High Dimensions: A New Exploration Rule for Contextual $\epsilon_t$-Greedy Heuristics. (2020). Medeiros, Marcelo C ; Flores, Claudio C. In: Papers. RePEc:arx:papers:2009.13961.

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2021Learning 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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2021A Basket Half Full: Sparse Portfolios. (2020). Seregina, Ekaterina. In: Papers. RePEc:arx:papers:2011.04278.

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2021Who Should Get Vaccinated? Individualized Allocation of Vaccines Over SIR Network. (2020). Wang, Guanyi ; Kitagawa, Toru. In: Papers. RePEc:arx:papers:2012.04055.

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2021Machine Learning Advances for Time Series Forecasting. (2020). Mendes, Eduardo F ; Medeiros, Marcelo C ; Masini, Ricardo P. In: Papers. RePEc:arx:papers:2012.12802.

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2021Non-Manipulable Machine Learning: The Incentive Compatibility of Lasso. (2021). Eliaz, Kfir ; Caner, Mehmet. In: Papers. RePEc:arx:papers:2101.01144.

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2022Bridging factor and sparse models. (2021). Medeiros, Marcelo C ; Masini, Ricardo ; Fan, Jianqing. In: Papers. RePEc:arx:papers:2102.11341.

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2022Hierarchical Regularizers for Mixed-Frequency Vector Autoregressions. (2021). Hecq, Alain ; Wilms, Ines ; Ternes, Marie. In: Papers. RePEc:arx:papers:2102.11780.

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2022Performance of Empirical Risk Minimization for Linear Regression with Dependent Data. (2021). Brownlees, Christian ; Gudhmundsson, Gudhmundur Stef'An. In: Papers. RePEc:arx:papers:2104.12127.

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2021Generalized Linear Models with Structured Sparsity Estimators. (2021). Caner, Mehmet. In: Papers. RePEc:arx:papers:2104.14371.

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2022Superconsistency of tests in high dimensions. (2021). Preinerstorfer, David ; Kock, Anders Bredahl. In: Papers. RePEc:arx:papers:2106.03700.

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2022Estimation of Optimal Dynamic Treatment Assignment Rules under Policy Constraint. (2021). Sakaguchi, Shosei. In: Papers. RePEc:arx:papers:2106.05031.

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2021Estimating high-dimensional Markov-switching VARs. (2021). Maung, Kenwin. In: Papers. RePEc:arx:papers:2107.12552.

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2021Sparse Generalized Yule-Walker Estimation for Large Spatio-temporal Autoregressions with an Application to NO2 Satellite Data. (2021). Wijler, Etienne ; Reuvers, Hanno. In: Papers. RePEc:arx:papers:2108.02864.

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2022Dynamic Factor Models with Sparse VAR Idiosyncratic Components. (2021). Margaritella, Luca ; Krampe, Jonas. In: Papers. RePEc:arx:papers:2112.07149.

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2022CCE Estimation of High-Dimensional Panel Data Models with Interactive Fixed Effects. (2022). Linton, Oliver ; Walsh, Christopher ; Vogt, Michael. In: Papers. RePEc:arx:papers:2206.12152.

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2022High Dimensional Generalised Penalised Least Squares. (2022). Kapetanios, George ; Chrysikou, Katerina ; Chronopoulos, Ilias. In: Papers. RePEc:arx:papers:2207.07055.

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2022A restricted eigenvalue condition for unit-root non-stationary data. (2022). Wijler, Etienne. In: Papers. RePEc:arx:papers:2208.12990.

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2022Local Projection Inference in High Dimensions. (2022). Wilms, Ines ; Smeekes, Stephan ; Adamek, Robert. In: Papers. RePEc:arx:papers:2209.03218.

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2022The boosted HP filter is more general than you might think. (2022). Shi, Zhentao ; PEter, ; Mei, Ziwei. In: Papers. RePEc:arx:papers:2209.09810.

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2022On LASSO for High Dimensional Predictive Regression. (2022). Shi, Zhentao ; Mei, Ziwei. In: Papers. RePEc:arx:papers:2212.07052.

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2021FORECASTING RUSSIAN CPI WITH DATA VINTAGES AND MACHINE LEARNING TECHNIQUES. (2021). Mamedli, Mariam ; Shibitov, Denis. In: Bank of Russia Working Paper Series. RePEc:bkr:wpaper:wps70.

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2021RNN?based counterfactual prediction, with an application to homestead policy and public schooling. (2021). Zeng, Shuxi ; Poulos, Jason. In: Journal of the Royal Statistical Society Series C. RePEc:bla:jorssc:v:70:y:2021:i:4:p:1124-1139.

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2021Sparsity concepts and estimation procedures for high?dimensional vector autoregressive models. (2021). Paparoditis, Efstathios ; Krampe, Jonas. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:42:y:2021:i:5-6:p:554-579.

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2022Oracle Efficient Estimation of Structural Breaks in Cointegrating Regressions. (2022). Schweikert, Karsten. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:43:y:2022:i:1:p:83-104.

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2022Regularized estimation of high?dimensional vector autoregressions with weakly dependent innovations. (2022). Mendes, Eduardo F ; Medeiros, Marcelo C ; Masini, Ricardo P. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:43:y:2022:i:4:p:532-557.

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2022CCE Estimation of High-Dimensional Panel Data Models with Interactive Fixed Effects. (2022). Walsh, C ; Vogt, M ; Linton, O. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2242.

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2022Estimating Time-Varying Networks for High-Dimensional Time Series. (2022). Linton, O B ; Chen, J. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2273.

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2022.

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2022.

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2021Tackling Large Outliers in Macroeconomic Data with Vector Artificial Neural Network Autoregression. (2021). Zhang, Yunyi ; Polito, Vito. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9395.

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2022The boosted HP filter is more general than you might think. (2022). , Peter ; PEter, ; Shi, Zhentao ; Mei, Ziwei. In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2348.

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2022A closer look at Chinese housing market: Measuring intra-city submarket connectedness in Shanghai and Guangzhou. (2022). Nong, Huifu ; Li, Qiang. In: China Economic Review. RePEc:eee:chieco:v:74:y:2022:i:c:s1043951x2200061x.

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2021High dimensional regression for regenerative time-series: An application to road traffic modeling. (2021). Portier, Franois ; Bouchouia, Mohammed. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:158:y:2021:i:c:s0167947321000256.

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2022Confidence intervals for parameters in high-dimensional sparse vector autoregression. (2022). Liu, Hanzhong ; Zhu, KE. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:168:y:2022:i:c:s0167947321002176.

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2022Time series graphical lasso and sparse VAR estimation. (2022). Pourahmadi, Mohsen ; Kim, Rakheon ; Dallakyan, Aramayis. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:176:y:2022:i:c:s0167947322001372.

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2021Impact of COVID-19 on GDP of major economies: Application of the artificial neural network forecaster. (2021). Majhi, Babita ; Managi, Shunsuke ; Kalli, Rajesh ; Jena, Pradyot Ranjan. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:69:y:2021:i:c:p:324-339.

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2022Asymmetric multivariate HAR models for realized covariance matrix: A study based on volatility timing strategies. (2022). Zhang, YI ; Qu, Hui. In: Economic Modelling. RePEc:eee:ecmode:v:106:y:2022:i:c:s0264999321002881.

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2022Using LASSO-family models to estimate the impact of monetary policy on corporate investments. (2022). Caraiani, Petre. In: Economics Letters. RePEc:eee:ecolet:v:210:y:2022:i:c:s0165176521004420.

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2021An automated approach towards sparse single-equation cointegration modelling. (2021). Smeekes, Stephan ; Wijler, Etienne. In: Journal of Econometrics. RePEc:eee:econom:v:221:y:2021:i:1:p:247-276.

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2021Autoregressive models for matrix-valued time series. (2021). Yang, Dan ; Xiao, Han ; Chen, Rong. In: Journal of Econometrics. RePEc:eee:econom:v:222:y:2021:i:1:p:539-560.

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2021Boosting high dimensional predictive regressions with time varying parameters. (2021). Ng, Serena ; Yousuf, Kashif. In: Journal of Econometrics. RePEc:eee:econom:v:224:y:2021:i:1:p:60-87.

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2021Detecting groups in large vector autoregressions. (2021). Guðmundsson, Guðmundur ; Brownlees, Christian ; Gumundsson, Gumundur Stefan. In: Journal of Econometrics. RePEc:eee:econom:v:225:y:2021:i:1:p:2-26.

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2022On LASSO for predictive regression. (2022). Shi, Zhentao ; Gao, Zhan ; Lee, Ji Hyung. In: Journal of Econometrics. RePEc:eee:econom:v:229:y:2022:i:2:p:322-349.

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2021Eatery, energy, environment and economic system, 1970–2017: Understanding volatility spillover patterns in a global sample. (2021). LE, Thai-Ha ; Vo, Long Hai. In: Energy Economics. RePEc:eee:eneeco:v:100:y:2021:i:c:s0140988321002905.

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2022Forecasting oil and gold volatilities with sentiment indicators under structural breaks. (2022). GUPTA, RANGAN ; Demirer, Riza ; Ji, Qiang ; Luo, Jiawen. In: Energy Economics. RePEc:eee:eneeco:v:105:y:2022:i:c:s014098832100596x.

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2022The banking instability and climate change: Evidence from China. (2022). Lu, Li Ping ; Zhang, Shuai. In: Energy Economics. RePEc:eee:eneeco:v:106:y:2022:i:c:s0140988321006253.

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2021Forecasting crude oil volatility with geopolitical risk: Do time-varying switching probabilities play a role?. (2021). Ma, Feng ; Wang, LU ; Gao, Xinxin ; Hao, Jianyang. In: International Review of Financial Analysis. RePEc:eee:finana:v:76:y:2021:i:c:s1057521921000983.

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2021Dynamic spillovers between energy and stock markets and their implications in the context of COVID-19. (2021). Shao, Liuguo ; Chen, Jinyu ; Zhang, Hua. In: International Review of Financial Analysis. RePEc:eee:finana:v:77:y:2021:i:c:s1057521921001629.

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2021Boosting nonlinear predictability of macroeconomic time series. (2021). Virtanen, Timo ; Kauppi, Heikki. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:1:p:151-170.

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2021A DCC-type approach for realized covariance modeling with score-driven dynamics. (2021). Corsi, Fulvio ; Buccheri, Giuseppe ; Vassallo, Danilo. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:2:p:569-586.

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2021A dynamic conditional approach to forecasting portfolio weights. (2021). Palandri, Alessandro ; Gallo, Giampiero M ; Cipollini, Fabrizio. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:3:p:1111-1126.

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2022Forecasting realized volatility of agricultural commodity futures with infinite Hidden Markov HAR models. (2022). Hou, Chenghan ; Ji, Qiang ; Klein, Tony ; Luo, Jiawen. In: International Journal of Forecasting. RePEc:eee:intfor:v:38:y:2022:i:1:p:51-73.

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2022A geometric framework for covariance dynamics. (2022). Park, Frank C ; Han, Chulwoo. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:134:y:2022:i:c:s0378426621002703.

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2022Modeling and forecasting realized portfolio weights. (2022). Gribisch, Bastian ; Golosnoy, Vasyl. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:138:y:2022:i:c:s0378426622000048.

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2021Temporal disaggregation of business dynamics: New evidence for U.S. economy. (2021). Zanetti Chini, Emilio ; rossi, lorenza. In: Journal of Macroeconomics. RePEc:eee:jmacro:v:69:y:2021:i:c:s0164070421000422.

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2022NetVIX — A network volatility index of financial markets. (2022). Giudici, Paolo ; Ahelegbey, Daniel Felix. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:594:y:2022:i:c:s0378437122000917.

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2021A Starting Note: A Historical Perspective in Lasso. (2021). Caner, Mehmet. In: International Econometric Review (IER). RePEc:erh:journl:v:13:y:2021:i:1:p:1-3.

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2022Forecasting Industrial Production Using Its Aggregated and Disaggregated Series or a Combination of Both: Evidence from One Emerging Market Economy. (2022). Valls Pereira, Pedro ; Mendonça, Diogo ; de Prince, Diogo ; Maral, Emerson Fernandes ; FernandesMaral, Emerson . In: Econometrics. RePEc:gam:jecnmx:v:10:y:2022:i:2:p:27-:d:839662.

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2022.

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2021.

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2021Who should get vaccinated? Individualized allocation of vaccines over SIR network. (2021). Wang, Guanyi ; Kitagawa, Toru. In: CeMMAP working papers. RePEc:ifs:cemmap:28/21.

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2021Cross-validated covariance estimators for high-dimensional minimum-variance portfolios. (2021). Steinert, Rick ; Shivarova, Antoniya ; Husmann, Sven. In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:35:y:2021:i:3:d:10.1007_s11408-020-00376-y.

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2021Machine Learning for Economists: An Introduction. (2021). Memon, Sonan. In: The Pakistan Development Review. RePEc:pid:journl:v:60:y:2021:i:2:p:201-211.

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2021.

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2021Forecasting Oil and Gold Volatilities with Sentiment Indicators Under Structural Breaks. (2021). Demirer, Riza ; Ji, Qiang ; Gupta, Rangan ; Luo, Jiawen. In: Working Papers. RePEc:pre:wpaper:202130.

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2022Forecasting Multivariate Volatilities with Exogenous Predictors: An Application to Industry Diversification Strategies. (2022). Demirer, Riza ; Gupta, Rangan ; Cepni, Oguzhan ; Luo, Jiawen. In: Working Papers. RePEc:pre:wpaper:202258.

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2022Dimension Reduction for High Dimensional Vector Autoregressive Models. (2022). Hecq, Alain ; Cubadda, Gianluca. In: CEIS Research Paper. RePEc:rtv:ceisrp:534.

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2022Dimension Reduction for High Dimensional Vector Autoregressive Models. (2022). Hecq, Alain ; Cubadda, Gianluca . In: CEIS Research Paper. RePEc:rtv:ceisrp:534shoc.

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2021The de-biased group Lasso estimation for varying coefficient models. (2021). Honda, Toshio. In: Annals of the Institute of Statistical Mathematics. RePEc:spr:aistmt:v:73:y:2021:i:1:d:10.1007_s10463-019-00740-4.

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2022Artificial Neural Network for Modeling the Economic Performance: A New Perspective. (2022). Mohamed, Ahmed Ramzy. In: Journal of Quantitative Economics. RePEc:spr:jqecon:v:20:y:2022:i:3:d:10.1007_s40953-022-00297-9.

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2022Penalized Estimation and Forecasting of Multiple Subject Intensive Longitudinal Data. (2022). Fredrickson, Barbara L ; Kim, Younghoon ; Fisher, Zachary F ; Pipiras, Vladas. In: Psychometrika. RePEc:spr:psycho:v:87:y:2022:i:2:d:10.1007_s11336-021-09825-7.

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2021Tail Heterogeneity for Dynamic Covariance-Matrix-Valued Random Variables: the F-Riesz Distribution. (2021). Lucas, Andr E ; Blasques, Francisco ; Rossini, Luca ; Opschoor, Anne. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20210010.

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2021Adaptive Treatment Assignment in Experiments for Policy Choice. (2021). Kasy, Maximilian ; Sautmann, Anja. In: Econometrica. RePEc:wly:emetrp:v:89:y:2021:i:1:p:113-132.

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2021BOOSTING: WHY YOU CAN USE THE HP FILTER. (2021). Shi, Zhentao ; PEter, . In: International Economic Review. RePEc:wly:iecrev:v:62:y:2021:i:2:p:521-570.

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2022Does model complexity add value to asset allocation? Evidence from machine learning forecasting models. (2022). Panopoulou, Ekaterini ; Kynigakis, Iason. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:37:y:2022:i:3:p:603-639.

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2022Forecasting the volatility of agricultural commodity futures: The role of co?volatility and oil volatility. (2022). Luo, Jiawen ; Ji, Qiang ; Marfatia, Hardik A. In: Journal of Forecasting. RePEc:wly:jforec:v:41:y:2022:i:2:p:383-404.

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2022Volatility spillovers: A sparse multivariate GARCH approach with an application to commodity markets. (2022). Wu, Jianbin ; Sercu, Piet ; Dhaene, Geert. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:42:y:2022:i:5:p:868-887.

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2021High-dimensional statistical learning techniques for time-varying limit order book networks. (2021). Schienle, Melanie ; Hardle, Wolfgang ; Chen, Shi. In: IRTG 1792 Discussion Papers. RePEc:zbw:irtgdp:2021015.

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Works by Anders Bredahl Kock:


YearTitleTypeCited
2009Forecasting with Universal Approximators and a Learning Algorithm In: CREATES Research Papers.
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2011Forecasting with Universal Approximators and a Learning Algorithm.(2011) In: Journal of Time Series Econometrics.
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2010Forecasting with nonlinear time series models In: CREATES Research Papers.
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2010Oracle Efficient Variable Selection in Random and Fixed Effects Panel Data Models In: CREATES Research Papers.
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2013ORACLE EFFICIENT VARIABLE SELECTION IN RANDOM AND FIXED EFFECTS PANEL DATA MODELS.(2013) In: Econometric Theory.
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This paper has another version. Agregated cites: 12
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2011Forecasting Macroeconomic Variables using Neural Network Models and Three Automated Model Selection Techniques In: CREATES Research Papers.
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2016Forecasting Macroeconomic Variables Using Neural Network Models and Three Automated Model Selection Techniques.(2016) In: Econometric Reviews.
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This paper has another version. Agregated cites: 12
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2011Forecasting performance of three automated modelling techniques during the economic crisis 2007-2009 In: CREATES Research Papers.
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2014Forecasting performances of three automated modelling techniques during the economic crisis 2007–2009.(2014) In: International Journal of Forecasting.
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