5
H index
3
i10 index
72
Citations
Maastricht University | 5 H index 3 i10 index 72 Citations RESEARCH PRODUCTION: 10 Articles 7 Papers RESEARCH ACTIVITY:
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Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Ines Wilms. | Is cited by: | Cites to: |
Journals with more than one article published | # docs |
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Energy Economics | 2 |
International Journal of Forecasting | 2 |
Working Papers Series with more than one paper published | # docs |
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Papers / arXiv.org | 6 |
Year | Title of citing document |
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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 | 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 | 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 |
2021 | Sparse Temporal Disaggregation. (2021). Gibberd, Alex ; Eckley, Idris ; Mosley, Luke . In: Papers. RePEc:arx:papers:2108.05783. Full description at Econpapers || Download paper |
2022 | Prediction intervals of the COVID-19 cases by HAR models with growth rates and vaccination rates in top eight affected countries: Bootstrap improvement. (2022). Hwang, Eunju. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:155:y:2022:i:c:s0960077921011425. Full description at Econpapers || Download paper |
2021 | Two sample tests for high-dimensional autocovariances. (2021). Gates, Katheleen M ; Baek, Changryong ; Pipiras, Vladas ; Leinwand, Benjamin. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:153:y:2021:i:c:s0167947320301584. 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 |
2021 | Spillovers between sovereign CDS and exchange rate markets: The role of market fear. (2021). Feng, Qianqian ; Li, Jian Ping ; Liu, Chang ; Sun, Xiaolei. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:55:y:2021:i:c:s1062940820301960. Full description at Econpapers || Download paper |
2021 | A multivariate HAR-RV model with heteroscedastic errors and its WLS estimation. (2021). Hong, Won-Tak ; Hwang, Eunju. In: Economics Letters. RePEc:eee:ecolet:v:203:y:2021:i:c:s0165176521001324. 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 |
2022 | Sparse regression for large data sets with outliers. (2022). Wilms, Ines ; Croux, Christophe ; Bottmer, Lea. In: European Journal of Operational Research. RePEc:eee:ejores:v:297:y:2022:i:2:p:782-794. Full description at Econpapers || Download paper |
2022 | Fat tails, serial dependence, and implied volatility index connections. (2022). Ellington, Michael. In: European Journal of Operational Research. RePEc:eee:ejores:v:299:y:2022:i:2:p:768-779. 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 |
2021 | Are there spillovers among Chinas pilots for carbon emission allowances trading?. (2021). Feng, Chao ; Guo, Li-Yang. In: Energy Economics. RePEc:eee:eneeco:v:103:y:2021:i:c:s014098832100445x. 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 | Economic sentiment indicators and foreign direct investment: Empirical evidence from European Union countries. (2021). Ghodsi, Mahdi ; Cieślik, Andrzej ; Cielik, Andrzej. In: International Economics. RePEc:eee:inteco:v:168:y:2021:i:c:p:56-75. Full description at Econpapers || Download paper |
2021 | Granger causality detection in high-dimensional systems using feedforward neural networks. (2021). Olmo, Jose ; Mancini, Tullio ; Calvo-Pardo, Hector . In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:2:p:920-940. Full description at Econpapers || Download paper |
2021 | 30 years of cointegration and dynamic factor models forecasting and its future with big data: Editorial. (2021). Ruiz, Esther ; Pea, Daniel ; Escribano, Alvaro. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:4:p:1333-1337. Full description at Econpapers || Download paper |
2022 | Ultra high-dimensional multivariate posterior contraction rate under shrinkage priors. (2022). Ghosh, Malay ; Zhang, Ruoyang. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:187:y:2022:i:c:s0047259x21001135. Full description at Econpapers || Download paper |
2021 | Asymmetric and time-frequency spillovers among commodities using high-frequency data. (2021). Vo, Xuan Vinh ; Shahzad, Syed Jawad Hussain ; Caporin, Massimiliano ; Hasan, Mudassar ; Arif, Muhammad ; Naeem, Muhammad Abubakr. In: Resources Policy. RePEc:eee:jrpoli:v:70:y:2021:i:c:s0301420720309879. Full description at Econpapers || Download paper |
2021 | Connectedness between oil and agricultural commodity prices during tranquil and volatile period. Is crude oil a victim indeed?. (2021). Mirza, Nawazish ; Sun, Yanpeng ; Hsueh, Hsin-Pei ; Qadeer, Abdul . In: Resources Policy. RePEc:eee:jrpoli:v:72:y:2021:i:c:s0301420721001458. Full description at Econpapers || Download paper |
2021 | The role of coronavirus news in the volatility forecasting of crude oil futures markets: Evidence from China. (2021). Zhang, Hongwei ; Gao, Wang ; Liu, Yuanyuan ; Niu, Zibo. In: Resources Policy. RePEc:eee:jrpoli:v:73:y:2021:i:c:s0301420721001872. Full description at Econpapers || Download paper |
2021 | Energy, agriculture, and precious metals: Evidence from time-varying Granger causal relationships for both return and volatility. (2021). Ajmi, Ahdi Noomen ; Mokni, Khaled ; Bouri, Elie ; Shahzad, Farrukh. In: Resources Policy. RePEc:eee:jrpoli:v:74:y:2021:i:c:s0301420721003081. Full description at Econpapers || Download paper |
2021 | Connectedness between energy and nonenergy commodity markets: Evidence from quantile coherency networks. (2021). Výrost, Tomᚠ; Baumohl, Eduard ; Vrost, Toma ; Sarwar, Suleman ; Khalfaoui, Rabeh. In: Resources Policy. RePEc:eee:jrpoli:v:74:y:2021:i:c:s0301420721003287. Full description at Econpapers || Download paper |
2021 | Impact of COVID-19 outbreak on multi-scale asymmetric spillovers between food and oil prices. (2021). Cheng, Sheng ; Cao, Yan. In: Resources Policy. RePEc:eee:jrpoli:v:74:y:2021:i:c:s0301420721003731. Full description at Econpapers || Download paper |
2021 | Multiscale spillovers, connectedness, and portfolio management among precious and industrial metals, energy, agriculture, and livestock futures. (2021). Kang, Sang Hoon ; Vo, Xuan Vinh ; Mensi, Walid. In: Resources Policy. RePEc:eee:jrpoli:v:74:y:2021:i:c:s0301420721003846. Full description at Econpapers || Download paper |
2021 | Return and volatility transmission between emerging markets and US debt throughout the pandemic crisis. (2021). Gubareva, Mariya ; Riaz, Yasir ; Manel, Youssef ; Umar, Zaghum. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:67:y:2021:i:c:s0927538x21000706. Full description at Econpapers || Download paper |
2021 | Multiscale information transmission between commodity markets: An EMD-Based transfer entropy network. (2021). Chen, Jianming ; Li, Jianping ; Wang, Jun ; Sun, Xiaolei ; Liu, Chang. In: Research in International Business and Finance. RePEc:eee:riibaf:v:55:y:2021:i:c:s0275531920302002. Full description at Econpapers || Download paper |
2021 | The Dynamic Spillover Effects of Macroeconomic and Financial Uncertainty on Commodity Markets Uncertainties. (2021). Gouider, Abdessalem ; Mezghani, Imed ; ben Haddad, Hedi. In: Economies. RePEc:gam:jecomi:v:9:y:2021:i:2:p:91-:d:575121. Full description at Econpapers || Download paper |
2021 | Dynamic Pricing Recognition on E-Commerce Platforms with VAR Processes. (2021). Guidolin, Mariangela ; Faehnle, Alexander. In: Forecasting. RePEc:gam:jforec:v:3:y:2021:i:1:p:11-180:d:510917. Full description at Econpapers || Download paper |
2021 | Commodity markets dynamics: What do crosscommodities over different nearest-to-maturities tell us?. (2021). Ben Amar, Amine ; Goutte, Stephane ; Isleimeyyeh, Mohammad. In: Working Papers. RePEc:hal:wpaper:halshs-03211699. Full description at Econpapers || Download paper |
2021 | Do confidence indicators lead Greek economic activity?. (2021). Pappas, Anastasios ; Kenourgios, Dimitris ; Dimitriou, Dimitrios ; Dimitris, Kenourgios ; Thanassis, Kazanas ; Anastasios, Pappas ; Dimitrios, Dimitriou. In: Bulletin of Applied Economics. RePEc:rmk:rmkbae:v:8:y:2021:i:2:p:1-15. 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 | Fast clustering algorithm of commodity association big data sparse network. (2021). Yang, Xiaohuan ; Pan, Hailan. In: International Journal of System Assurance Engineering and Management. RePEc:spr:ijsaem:v:12:y:2021:i:4:d:10.1007_s13198-021-01060-8. Full description at Econpapers || Download paper |
2021 | Economic Sentiment Indicators and Foreign Direct Investment: Empirical Evidence from European Union Countries. (2021). Ghodsi, Mohammad Mahdi ; Cielik, Andrzej. In: wiiw Working Papers. RePEc:wii:wpaper:203. Full description at Econpapers || Download paper |
2022 | Forecasting Bitcoin volatility: A new insight from the threshold regression model. (2022). Wang, Yudong ; Wen, Danyan ; He, Mengxi ; Zhang, Yaojie. In: Journal of Forecasting. RePEc:wly:jforec:v:41:y:2022:i:3:p:633-652. Full description at Econpapers || Download paper |
Year | Title | Type | Cited |
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2016 | Commodity Dynamics: A Sparse Multi-class Approach In: Papers. [Full Text][Citation analysis] | paper | 5 |
2016 | Commodity dynamics: A sparse multi-class approach.(2016) In: Energy Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 5 | article | |
2017 | Volatility Spillovers and Heavy Tails: A Large t-Vector AutoRegressive Approach In: Papers. [Full Text][Citation analysis] | paper | 0 |
2022 | Lasso Inference for High-Dimensional Time Series In: Papers. [Full Text][Citation analysis] | paper | 1 |
2021 | bootUR: An R Package for Bootstrap Unit Root Tests In: Papers. [Full Text][Citation analysis] | paper | 0 |
2021 | Tree-based Node Aggregation in Sparse Graphical Models In: Papers. [Full Text][Citation analysis] | paper | 0 |
2022 | Hierarchical Regularizers for Mixed-Frequency Vector Autoregressions In: Papers. [Full Text][Citation analysis] | paper | 1 |
2018 | Multiclass vector auto?regressive models for multistore sales data In: Journal of the Royal Statistical Society Series C. [Full Text][Citation analysis] | article | 1 |
2016 | Discussion of ‘Asymptotic Theory of Outlier Detection Algorithms for Linear Time Series Regression Models’ In: Scandinavian Journal of Statistics. [Full Text][Citation analysis] | article | 0 |
2016 | The predictive power of the business and bank sentiment of firms: A high-dimensional Granger Causality approach In: European Journal of Operational Research. [Full Text][Citation analysis] | article | 12 |
2020 | Volatility spillovers in commodity markets: A large t-vector autoregressive approach In: Energy Economics. [Full Text][Citation analysis] | article | 15 |
2016 | Forecasting using sparse cointegration In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 16 |
2021 | Multivariate volatility forecasts for stock market indices In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 5 |
2016 | Identifying Demand Effects in a Large Network of Product Categories In: Journal of Retailing. [Full Text][Citation analysis] | article | 9 |
2018 | White heteroscedasticty testing after outlier removal In: Economics Series Working Papers. [Full Text][Citation analysis] | paper | 5 |
2021 | Heteroscedasticity testing after outlier removal In: Econometric Reviews. [Full Text][Citation analysis] | article | 0 |
2018 | An algorithm for the multivariate group lasso with covariance estimation In: Journal of Applied Statistics. [Full Text][Citation analysis] | article | 2 |
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