9
H index
9
i10 index
284
Citations
Oxford University (90% share) | 9 H index 9 i10 index 284 Citations RESEARCH PRODUCTION: 14 Articles 21 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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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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2021 | Machine 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. Full description at Econpapers || Download paper |
2021 | On LASSO for Predictive Regression. (2018). Lee, Ji Hyung ; Gao, Zhan ; Shi, Zhentao ; Hyung, JI. In: Papers. RePEc:arx:papers:1810.03140. Full description at Econpapers || Download paper |
2022 | Many Average Partial Effects: with An Application to Text Regression. (2019). CHIANG, HAROLD. In: Papers. RePEc:arx:papers:1812.09397. Full description at Econpapers || Download paper |
2021 | Omitted variable bias of Lasso-based inference methods: A finite sample analysis. (2021). Zhu, Ying ; Wuthrich, Kaspar. In: Papers. RePEc:arx:papers:1903.08704. Full description at Econpapers || Download paper |
2021 | Forward-Selected Panel Data Approach for Program Evaluation. (2019). Huang, Jingyi ; Shi, Zhentao. In: Papers. RePEc:arx:papers:1908.05894. Full description at Econpapers || Download paper |
2021 | Estimation and HAC-based Inference for Machine Learning Time Series Regressions. (2019). Striaukas, Jonas ; Ghysels, Eric ; Babii, Andrii. In: Papers. RePEc:arx:papers:1912.06307. Full description at Econpapers || Download paper |
2021 | Regularized 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. Full description at Econpapers || Download paper |
2021 | Oracle Efficient Estimation of Structural Breaks in Cointegrating Regressions. (2020). Schweikert, Karsten. In: Papers. RePEc:arx:papers:2001.07949. Full description at Econpapers || Download paper |
2022 | Sharpe 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. Full description at Econpapers || Download paper |
2022 | Wild Bootstrap Inference for Penalized Quantile Regression for Longitudinal Data. (2020). Parker, Thomas ; Lamarche, Carlos. In: Papers. RePEc:arx:papers:2004.05127. Full description at Econpapers || Download paper |
2022 | Treatment recommendation with distributional targets. (2020). Veliyev, Bezirgen ; Preinerstorfer, David ; Kock, Anders Bredahl. In: Papers. RePEc:arx:papers:2005.09717. Full description at Econpapers || Download paper |
2022 | Lasso Inference for High-Dimensional Time Series. (2020). Smeekes, Stephan ; Wilms, Ines ; Adamek, Robert. In: Papers. RePEc:arx:papers:2007.10952. Full description at Econpapers || Download paper |
2021 | Machine 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. Full description at Econpapers || Download paper |
2022 | Dimension Reduction for High Dimensional Vector Autoregressive Models. (2020). Hecq, Alain ; Cubadda, Gianluca. In: Papers. RePEc:arx:papers:2009.03361. Full description at Econpapers || Download paper |
2021 | Online 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. Full description at Econpapers || Download paper |
2021 | Learning from Forecast Errors: A New Approach to Forecast Combinations. (2020). Seregina, Ekaterina ; Lee, Tae-Hwy. In: Papers. RePEc:arx:papers:2011.02077. Full description at Econpapers || Download paper |
2021 | A Basket Half Full: Sparse Portfolios. (2020). Seregina, Ekaterina. In: Papers. RePEc:arx:papers:2011.04278. Full description at Econpapers || Download paper |
2021 | Who Should Get Vaccinated? Individualized Allocation of Vaccines Over SIR Network. (2020). Wang, Guanyi ; Kitagawa, Toru. In: Papers. RePEc:arx:papers:2012.04055. Full description at Econpapers || Download paper |
2021 | Machine Learning Advances for Time Series Forecasting. (2020). Mendes, Eduardo F ; Medeiros, Marcelo C ; Masini, Ricardo P. In: Papers. RePEc:arx:papers:2012.12802. Full description at Econpapers || Download paper |
2021 | Non-Manipulable Machine Learning: The Incentive Compatibility of Lasso. (2021). Eliaz, Kfir ; Caner, Mehmet. In: Papers. RePEc:arx:papers:2101.01144. Full description at Econpapers || Download paper |
2022 | Bridging factor and sparse models. (2021). Medeiros, Marcelo C ; Masini, Ricardo ; Fan, Jianqing. In: Papers. RePEc:arx:papers:2102.11341. Full description at Econpapers || Download paper |
2022 | Hierarchical Regularizers for Mixed-Frequency Vector Autoregressions. (2021). Hecq, Alain ; Wilms, Ines ; Ternes, Marie. In: Papers. RePEc:arx:papers:2102.11780. Full description at Econpapers || Download paper |
2022 | 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 |
2021 | Generalized Linear Models with Structured Sparsity Estimators. (2021). Caner, Mehmet. In: Papers. RePEc:arx:papers:2104.14371. Full description at Econpapers || Download paper |
2022 | Superconsistency of tests in high dimensions. (2021). Preinerstorfer, David ; Kock, Anders Bredahl. In: Papers. RePEc:arx:papers:2106.03700. Full description at Econpapers || Download paper |
2022 | Estimation of Optimal Dynamic Treatment Assignment Rules under Policy Constraint. (2021). Sakaguchi, Shosei. In: Papers. RePEc:arx:papers:2106.05031. Full description at Econpapers || Download paper |
2021 | Estimating high-dimensional Markov-switching VARs. (2021). Maung, Kenwin. In: Papers. RePEc:arx:papers:2107.12552. Full description at Econpapers || Download paper |
2021 | Sparse 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. Full description at Econpapers || Download paper |
2022 | Dynamic Factor Models with Sparse VAR Idiosyncratic Components. (2021). Margaritella, Luca ; Krampe, Jonas. In: Papers. RePEc:arx:papers:2112.07149. Full description at Econpapers || Download paper |
2022 | CCE 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. Full description at Econpapers || Download paper |
2022 | 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 |
2022 | A restricted eigenvalue condition for unit-root non-stationary data. (2022). Wijler, Etienne. In: Papers. RePEc:arx:papers:2208.12990. Full description at Econpapers || Download paper |
2022 | 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 |
2022 | The boosted HP filter is more general than you might think. (2022). Shi, Zhentao ; PEter, ; Mei, Ziwei. In: Papers. RePEc:arx:papers:2209.09810. Full description at Econpapers || Download paper |
2022 | On LASSO for High Dimensional Predictive Regression. (2022). Shi, Zhentao ; Mei, Ziwei. In: Papers. RePEc:arx:papers:2212.07052. Full description at Econpapers || Download paper |
2021 | FORECASTING 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. Full description at Econpapers || Download paper |
2021 | RNN?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. Full description at Econpapers || Download paper |
2021 | Sparsity 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. Full description at Econpapers || Download paper |
2022 | Oracle 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. Full description at Econpapers || Download paper |
2022 | Regularized 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. Full description at Econpapers || Download paper |
2022 | CCE 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. Full description at Econpapers || Download paper |
2022 | Estimating Time-Varying Networks for High-Dimensional Time Series. (2022). Linton, O B ; Chen, J. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2273. Full description at Econpapers || Download paper |
2022 | . Full description at Econpapers || Download paper |
2022 | . Full description at Econpapers || Download paper |
2021 | Tackling 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. Full description at Econpapers || Download paper |
2022 | The 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. Full description at Econpapers || Download paper |
2022 | A 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. Full description at Econpapers || Download paper |
2021 | High 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. Full description at Econpapers || Download paper |
2022 | Confidence 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. Full description at Econpapers || Download paper |
2022 | Time 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. Full description at Econpapers || Download paper |
2021 | Impact 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. Full description at Econpapers || Download paper |
2022 | Asymmetric 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. Full description at Econpapers || Download paper |
2022 | Using 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. Full description at Econpapers || Download paper |
2021 | An 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. Full description at Econpapers || Download paper |
2021 | Autoregressive 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. Full description at Econpapers || Download paper |
2021 | Boosting 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. Full description at Econpapers || Download paper |
2021 | Detecting 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. Full description at Econpapers || Download paper |
2022 | On 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. Full description at Econpapers || Download paper |
2021 | Eatery, 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. Full description at Econpapers || Download paper |
2022 | Forecasting 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. Full description at Econpapers || Download paper |
2022 | The 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. Full description at Econpapers || Download paper |
2021 | Forecasting 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. Full description at Econpapers || Download paper |
2021 | Dynamic 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. Full description at Econpapers || Download paper |
2021 | Boosting 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. Full description at Econpapers || Download paper |
2021 | A 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. Full description at Econpapers || Download paper |
2021 | A 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. Full description at Econpapers || Download paper |
2022 | Forecasting 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. Full description at Econpapers || Download paper |
2022 | A 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. Full description at Econpapers || Download paper |
2022 | Modeling 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. Full description at Econpapers || Download paper |
2021 | Temporal 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. Full description at Econpapers || Download paper |
2022 | NetVIX — 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. Full description at Econpapers || Download paper |
2021 | A 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. Full description at Econpapers || Download paper |
2022 | Forecasting 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. Full description at Econpapers || Download paper |
2022 | . Full description at Econpapers || Download paper |
2021 | . Full description at Econpapers || Download paper |
2021 | Who should get vaccinated? Individualized allocation of vaccines over SIR network. (2021). Wang, Guanyi ; Kitagawa, Toru. In: CeMMAP working papers. RePEc:ifs:cemmap:28/21. Full description at Econpapers || Download paper |
2021 | Cross-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. Full description at Econpapers || Download paper |
2021 | Machine 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. Full description at Econpapers || Download paper |
2021 | . Full description at Econpapers || Download paper |
2021 | Forecasting 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. Full description at Econpapers || Download paper |
2022 | Forecasting 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. Full description at Econpapers || Download paper |
2022 | Dimension Reduction for High Dimensional Vector Autoregressive Models. (2022). Hecq, Alain ; Cubadda, Gianluca. In: CEIS Research Paper. RePEc:rtv:ceisrp:534. Full description at Econpapers || Download paper |
2022 | Dimension Reduction for High Dimensional Vector Autoregressive Models. (2022). Hecq, Alain ; Cubadda, Gianluca . In: CEIS Research Paper. RePEc:rtv:ceisrp:534shoc. Full description at Econpapers || Download paper |
2021 | The 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. Full description at Econpapers || Download paper |
2022 | Artificial 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. Full description at Econpapers || Download paper |
2022 | Penalized 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. Full description at Econpapers || Download paper |
2021 | 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 |
2021 | Adaptive 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. Full description at Econpapers || Download paper |
2021 | BOOSTING: 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. Full description at Econpapers || Download paper |
2022 | Does 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. Full description at Econpapers || Download paper |
2022 | Forecasting 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. Full description at Econpapers || Download paper |
2022 | Volatility 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. Full description at Econpapers || Download paper |
2021 | High-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. 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 another 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 | 12 |
2013 | ORACLE EFFICIENT VARIABLE SELECTION IN RANDOM AND FIXED EFFECTS PANEL DATA MODELS.(2013) In: Econometric Theory. [Full Text][Citation analysis] This paper has another version. Agregated cites: 12 | article | |
2011 | Forecasting Macroeconomic Variables using Neural Network Models and Three Automated Model Selection Techniques In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 12 |
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 another version. Agregated cites: 12 | article | |
2011 | Forecasting performance of three automated modelling techniques during the economic crisis 2007-2009 In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 14 |
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 another version. Agregated cites: 14 | 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 | 85 |
2015 | Oracle inequalities for high dimensional vector autoregressions.(2015) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 85 | 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 another 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 another 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 | 25 |
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 another version. Agregated cites: 25 | 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 another 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 | 1 |
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 another version. Agregated cites: 1 | 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 another version. Agregated cites: 1 | 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 | 7 |
2016 | CONSISTENT AND CONSERVATIVE MODEL SELECTION WITH THE ADAPTIVE LASSO IN STATIONARY AND NONSTATIONARY AUTOREGRESSIONS In: Econometric Theory. [Full Text][Citation analysis] | article | 15 |
2017 | Power in High-dimensional testing Problems In: Working Papers ECARES. [Full Text][Citation analysis] | paper | 4 |
2019 | Power in High?Dimensional Testing Problems.(2019) In: Econometrica. [Full Text][Citation analysis] This paper has another version. Agregated cites: 4 | 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 | 9 |
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 | 15 |
2017 | Modeling and Forecasting Large Realized Covariance Matrices and Portfolio Choice In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 37 |
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