10
H index
11
i10 index
337
Citations
Aarhus Universitet (5% share) | 10 H index 11 i10 index 337 Citations RESEARCH PRODUCTION: 14 Articles 21 Papers RESEARCH ACTIVITY: 11 years (2009 - 2020). See details. MORE DETAILS IN: ABOUT THIS REPORT: Permalink: http://citec.repec.org/pko276 |
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Anders Bredahl Kock. | Is cited by: | Cites to: |
Journals with more than one article published | # docs |
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Journal of Econometrics | 3 |
Econometric Reviews | 3 |
Econometric Theory | 2 |
Working Papers Series with more than one paper published | # docs |
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Papers / arXiv.org | 2 |
Tinbergen Institute Discussion Papers / Tinbergen Institute | 2 |
Year | Title of citing document |
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2023 | Performance of Empirical Risk Minimization for Linear Regression with Dependent Data. (2021). Brownlees, Christian ; Gudhmundsson, Gudhmundur Stef'An. In: Papers. RePEc:arx:papers:2104.12127. Full description at Econpapers || Download paper |
2023 | High Dimensional Generalised Penalised Least Squares. (2022). Kapetanios, George ; Chrysikou, Katerina ; Chronopoulos, Ilias. In: Papers. RePEc:arx:papers:2207.07055. Full description at Econpapers || Download paper |
2023 | Local Projection Inference in High Dimensions. (2022). Wilms, Ines ; Smeekes, Stephan ; Adamek, Robert. In: Papers. RePEc:arx:papers:2209.03218. Full description at Econpapers || Download paper |
2023 | Measuring tail risk at high-frequency: An $L_1$-regularized extreme value regression approach with unit-root predictors. (2023). Trapin, Luca ; Sun, LI ; Hambuckers, Julien. In: Papers. RePEc:arx:papers:2301.01362. Full description at Econpapers || Download paper |
2023 | Sparse High-Dimensional Vector Autoregressive Bootstrap. (2023). Wilms, Ines ; Smeekes, Stephan ; Adamek, Robert. In: Papers. RePEc:arx:papers:2302.01233. Full description at Econpapers || Download paper |
2023 | Inference in Non-stationary High-Dimensional VARs. (2023). Smeekes, Stephan ; Margaritella, Luca. In: Papers. RePEc:arx:papers:2302.01434. Full description at Econpapers || Download paper |
2023 | Estimating Time-Varying Networks for High-Dimensional Time Series. (2023). Linton, Oliver ; Chen, Jia. In: Papers. RePEc:arx:papers:2302.02476. Full description at Econpapers || Download paper |
2023 | Asymptotic Representations for Sequential Decisions, Adaptive Experiments, and Batched Bandits. (2023). Porter, Jack R ; Hirano, Keisuke. In: Papers. RePEc:arx:papers:2302.03117. Full description at Econpapers || Download paper |
2023 | Inference of Grouped Time-Varying Network Vector Autoregression Models. (2023). Wu, Wei Biao ; Tang, Songqiao ; Peng, Bin ; Li, Degui. In: Papers. RePEc:arx:papers:2303.10117. Full description at Econpapers || Download paper |
2023 | Forecasting Large Realized Covariance Matrices: The Benefits of Factor Models and Shrinkage. (2023). Ribeiro, Ruy M ; Medeiros, Marcelo C ; de Brito, Diego S ; Alves, Rafael. In: Papers. RePEc:arx:papers:2303.16151. Full description at Econpapers || Download paper |
2023 | Artificial neural networks and time series of counts: A class of nonlinear INGARCH models. (2023). Jahn, Malte. In: Papers. RePEc:arx:papers:2304.01025. Full description at Econpapers || Download paper |
2023 | Expected Shortfall LASSO. (2023). Barendse, Sander. In: Papers. RePEc:arx:papers:2307.01033. Full description at Econpapers || Download paper |
2023 | Graph Neural Networks for Forecasting Multivariate Realized Volatility with Spillover Effects. (2023). Dong, Xiaowen ; Cucuringu, Mihai ; Pu, Xingyue ; Zhang, Chao. In: Papers. RePEc:arx:papers:2308.01419. Full description at Econpapers || Download paper |
2023 | Econometrics of Machine Learning Methods in Economic Forecasting. (2023). Striaukas, Jonas ; Ghysels, Eric ; Babii, Andrii. In: Papers. RePEc:arx:papers:2308.10993. Full description at Econpapers || Download paper |
2023 | High Dimensional Time Series Regression Models: Applications to Statistical Learning Methods. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2308.16192. Full description at Econpapers || Download paper |
2023 | Regressing on distributions: The nonlinear effect of temperature on regional economic growth. (2023). Jahn, Malte. In: Papers. RePEc:arx:papers:2309.10481. Full description at Econpapers || Download paper |
2023 | Machine learning advances for time series forecasting. (2023). Mendes, Eduardo F ; Medeiros, Marcelo C ; Masini, Ricardo P. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:37:y:2023:i:1:p:76-111. Full description at Econpapers || Download paper |
2023 | Directed graphs and variable selection in large vector autoregressive models. (2023). Kascha, Christian ; Bruggemann, Ralf ; Bertsche, Dominik. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:44:y:2023:i:2:p:223-246. Full description at Econpapers || Download paper |
2023 | The role of uncertainty in forecasting volatility comovements across stock markets. (2023). Palomba, Giulio ; Rossi, Eduardo ; Bucci, Andrea. In: Economic Modelling. RePEc:eee:ecmode:v:125:y:2023:i:c:s0264999323001219. Full description at Econpapers || Download paper |
2023 | Improving box office projections through sentiment analysis: Insights from regularization-based forecast combinations. (2023). Qiu, Yue ; Zheng, Yuchen. In: Economic Modelling. RePEc:eee:ecmode:v:125:y:2023:i:c:s026499932300161x. Full description at Econpapers || Download paper |
2023 | Who should get vaccinated? Individualized allocation of vaccines over SIR network. (2023). Wang, Guanyi ; Kitagawa, Toru. In: Journal of Econometrics. RePEc:eee:econom:v:232:y:2023:i:1:p:109-131. Full description at Econpapers || Download paper |
2023 | High-dimensional VARs with common factors. (2023). Su, Liangjun ; Phillips, Peter ; Miao, KE. In: Journal of Econometrics. RePEc:eee:econom:v:233:y:2023:i:1:p:155-183. Full description at Econpapers || Download paper |
2023 | Most powerful test against a sequence of high dimensional local alternatives. (2023). GAO, Jiti ; Jaidee, Sombut ; He, YI. In: Journal of Econometrics. RePEc:eee:econom:v:234:y:2023:i:1:p:151-177. Full description at Econpapers || Download paper |
2023 | Structural inference in sparse high-dimensional vector autoregressions. (2023). Trenkler, C ; Paparoditis, E ; Krampe, J. In: Journal of Econometrics. RePEc:eee:econom:v:234:y:2023:i:1:p:276-300. Full description at Econpapers || Download paper |
2023 | Forward-selected panel data approach for program evaluation. (2023). Huang, Jingyi ; Shi, Zhentao. In: Journal of Econometrics. RePEc:eee:econom:v:234:y:2023:i:2:p:512-535. Full description at Econpapers || Download paper |
2023 | Treatment recommendation with distributional targets. (2023). Veliyev, Bezirgen ; Preinerstorfer, David ; Kock, Anders Bredahl. In: Journal of Econometrics. RePEc:eee:econom:v:234:y:2023:i:2:p:624-646. Full description at Econpapers || Download paper |
2023 | Modeling realized covariance measures with heterogeneous liquidity: A generalized matrix-variate Wishart state-space model. (2023). Hartkopf, Jan Patrick ; Gribisch, Bastian. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:1:p:43-64. Full description at Econpapers || Download paper |
2023 | Lasso inference for high-dimensional time series. (2023). Wilms, Ines ; Smeekes, Stephan ; Adamek, Robert. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1114-1143. Full description at Econpapers || Download paper |
2023 | Joint inference based on Stein-type averaging estimators in the linear regression model. (2023). Boot, Tom. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1542-1563. Full description at Econpapers || Download paper |
2023 | Wild bootstrap inference for penalized quantile regression for longitudinal data. (2023). Parker, Thomas ; Lamarche, Carlos. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1799-1826. Full description at Econpapers || Download paper |
2023 | Sharpe Ratio analysis in high dimensions: Residual-based nodewise regression in factor models. (2023). Medeiros, Marcelo ; Caner, Mehmet. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:393-417. Full description at Econpapers || Download paper |
2023 | Generalized linear models with structured sparsity estimators. (2023). Caner, Mehmet. In: Journal of Econometrics. RePEc:eee:econom:v:236:y:2023:i:2:s030440762300194x. Full description at Econpapers || Download paper |
2023 | Unrestricted maximum likelihood estimation of multivariate realized volatility models. (2023). Golosnoy, Vasyl ; Vogler, Jan. In: European Journal of Operational Research. RePEc:eee:ejores:v:304:y:2023:i:3:p:1063-1074. Full description at Econpapers || Download paper |
2023 | Challenging golden standards in EWMA smoothing parameter calibration based on realized covariance measures. (2023). Reh, Laura ; Hartkopf, Jan Patrick. In: Finance Research Letters. RePEc:eee:finlet:v:56:y:2023:i:c:s1544612323005019. Full description at Econpapers || Download paper |
2023 | Penalized estimation of panel vector autoregressive models: A panel LASSO approach. (2023). Camehl, Annika. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:3:p:1185-1204. Full description at Econpapers || Download paper |
2023 | Dynamic spillover between traditional energy markets and emerging green markets: Implications for sustainable development. (2023). Ren, Xiaohang ; Duan, Xiaoping ; Taghizadeh-Hesary, Farhad ; Xiao, YA. In: Resources Policy. RePEc:eee:jrpoli:v:82:y:2023:i:c:s0301420723001915. Full description at Econpapers || Download paper |
2023 | An Interpretable Machine Learning Workflow with an Application to Economic Forecasting. (2023). Joseph, Andreas ; Buckmann, Marcus. In: International Journal of Central Banking. RePEc:ijc:ijcjou:y:2023:q:4:a:10. Full description at Econpapers || Download paper |
2023 | Inference of Grouped Time-Varying Network Vector Autoregression Models. (2023). Wu, Weibiao ; Tang, Songqiao ; Peng, Bin ; Li, Degui. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2023-5. Full description at Econpapers || Download paper |
2023 | Technological Shocks and Stock Market Volatility Over a Century: A GARCH-MIDAS Approach. (2023). Salisu, Afees ; GUPTA, RANGAN ; Demirer, Riza. In: Working Papers. RePEc:pre:wpaper:202308. Full description at Econpapers || Download paper |
2023 | The Vector Error Correction Index Model: Representation, Estimation and Identification. (2023). Cubadda, Gianluca ; Mazzali, Marco. In: CEIS Research Paper. RePEc:rtv:ceisrp:556. Full description at Econpapers || Download paper |
2023 | Composite forecasting of vast-dimensional realized covariance matrices using factor state-space models. (2023). Hartkopf, Jan Patrick. In: Empirical Economics. RePEc:spr:empeco:v:64:y:2023:i:1:d:10.1007_s00181-022-02245-1. Full description at Econpapers || Download paper |
2023 | Variable selection in threshold model with a covariate-dependent threshold. (2023). Yang, Lixiong. In: Empirical Economics. RePEc:spr:empeco:v:65:y:2023:i:1:d:10.1007_s00181-022-02340-3. Full description at Econpapers || Download paper |
2023 | Penalized leads-and-lags cointegrating regression: a simulation study and two empirical applications. (2023). Neto, David. In: Empirical Economics. RePEc:spr:empeco:v:65:y:2023:i:2:d:10.1007_s00181-023-02362-5. Full description at Econpapers || Download paper |
2023 | The impact of pandemic on dynamic volatility spillover network of international stock markets. (2023). Shao, Liuguo ; Lan, Tingting ; Yuan, Caijun ; Zhang, Hua. In: Empirical Economics. RePEc:spr:empeco:v:65:y:2023:i:5:d:10.1007_s00181-023-02422-w. Full description at Econpapers || Download paper |
2023 | Lasso regression in sparse linear model with $$\varphi $$ ? -mixing errors. (2023). Zhong, Wenxuan ; Zhu, Yan ; Peng, Ling. In: Metrika: International Journal for Theoretical and Applied Statistics. RePEc:spr:metrik:v:86:y:2023:i:1:d:10.1007_s00184-022-00860-7. Full description at Econpapers || Download paper |
2023 | Tail 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. Full description at Econpapers || Download paper |
2023 | Nonlinear inflation forecasting with recurrent neural networks. (2023). Andresen, Niek ; Almosova, Anna. In: Journal of Forecasting. RePEc:wly:jforec:v:42:y:2023:i:2:p:240-259. Full description at Econpapers || Download paper |
2023 | . Full description at Econpapers || Download paper |
Year | Title | Type | Cited |
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2009 | Forecasting with Universal Approximators and a Learning Algorithm In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 2 |
2011 | Forecasting with Universal Approximators and a Learning Algorithm.(2011) In: Journal of Time Series Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | article | |
2010 | Forecasting with nonlinear time series models In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 14 |
2010 | Oracle Efficient Variable Selection in Random and Fixed Effects Panel Data Models In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 13 |
2013 | ORACLE EFFICIENT VARIABLE SELECTION IN RANDOM AND FIXED EFFECTS PANEL DATA MODELS.(2013) In: Econometric Theory. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 13 | article | |
2011 | Forecasting Macroeconomic Variables using Neural Network Models and Three Automated Model Selection Techniques In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 14 |
2016 | Forecasting Macroeconomic Variables Using Neural Network Models and Three Automated Model Selection Techniques.(2016) In: Econometric Reviews. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 14 | article | |
2011 | Forecasting performance of three automated modelling techniques during the economic crisis 2007-2009 In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 19 |
2014 | Forecasting performances of three automated modelling techniques during the economic crisis 2007–2009.(2014) In: International Journal of Forecasting. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 19 | article | |
2012 | On the Oracle Property of the Adaptive Lasso in Stationary and Nonstationary Autoregressions In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 9 |
2012 | Oracle Inequalities for High Dimensional Vector Autoregressions In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 102 |
2015 | Oracle inequalities for high dimensional vector autoregressions.(2015) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 102 | article | |
2012 | Oracle Efficient Estimation and Forecasting with the Adaptive LASSO and the Adaptive Group LASSO in Vector Autoregressions In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 9 |
2013 | Oracle inequalities for high-dimensional panel data models In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 3 |
2013 | Lassoing the Determinants of Retirement In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 0 |
2016 | Lassoing the Determinants of Retirement.(2016) In: Econometric Reviews. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
2013 | Oracle Inequalities for Convex Loss Functions with Non-Linear Targets In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 1 |
2016 | Oracle Inequalities for Convex Loss Functions with Nonlinear Targets.(2016) In: Econometric Reviews. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | article | |
2014 | Asymptotically Honest Confidence Regions for High Dimensional Parameters by the Desparsified Conservative Lasso In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 29 |
2018 | Asymptotically honest confidence regions for high dimensional parameters by the desparsified conservative Lasso.(2018) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 29 | article | |
2014 | Estimation and Forecasting of Large Realized Covariance Matrices and Portfolio Choice In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 2 |
2014 | Estimation and Forecasting of Large Realized Covariance Matrices and Portfolio Choice.(2014) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
2014 | Inference in High-dimensional Dynamic Panel Data Models In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 3 |
2015 | Sharp Threshold Detection Based on Sup-norm Error rates in High-dimensional Models In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 2 |
2017 | Sharp 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 nother version. Agregated cites: 2 | article | |
2015 | Sharp 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 nother version. Agregated cites: 2 | paper | |
2016 | Inference in partially identified models with many moment inequalities using Lasso In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 4 |
2018 | Optimal sequential treatment allocation In: Papers. [Full Text][Citation analysis] | paper | 1 |
2020 | Functional Sequential Treatment Allocation In: Papers. [Full Text][Citation analysis] | paper | 10 |
2016 | CONSISTENT AND CONSERVATIVE MODEL SELECTION WITH THE ADAPTIVE LASSO IN STATIONARY AND NONSTATIONARY AUTOREGRESSIONS In: Econometric Theory. [Full Text][Citation analysis] | article | 19 |
2017 | Power in High-dimensional testing Problems In: Working Papers ECARES. [Full Text][Citation analysis] | paper | 6 |
2019 | Power in High?Dimensional Testing Problems.(2019) In: Econometrica. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | article | |
2016 | Oracle inequalities, variable selection and uniform inference in high-dimensional correlated random effects panel data models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 11 |
2013 | Forecasting the Finnish Consumer Price Inflation Using Artificial Neural Network Models and Three Automated Model Selection Techniques In: Finnish Economic Papers. [Full Text][Citation analysis] | article | 16 |
2017 | Modeling and Forecasting Large Realized Covariance Matrices and Portfolio Choice In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 48 |
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