Anders Bredahl Kock : Citation Profile

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

11

H index

11

i10 index

414

Citations

RESEARCH PRODUCTION:

20

Articles

29

Papers

RESEARCH ACTIVITY:

   16 years (2009 - 2025). See details.
   Cites by year: 25
   Journals where Anders Bredahl Kock has often published
   Relations with other researchers
   Recent citing documents: 62.    Total self citations: 21 (4.83 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pko276
   Updated: 2026-01-17    RAS profile: 2026-01-16    
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Relations with other researchers

Works with:

Veliyev, Bezirgen (6)

Mavroeidis, Sophocles (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:

Medeiros, Marcelo (24)

LINTON, OLIVER (19)

Smeekes, Stephan (13)

Caner, Mehmet (11)

Claveria, Oscar (10)

Barigozzi, Matteo (10)

Audrino, Francesco (10)

Shi, Zhentao (10)

Brownlees, Christian (9)

Phillips, Peter (9)

Babii, Andrii (9)

Cites to:

Fan, Jianqing (27)

Chernozhukov, Victor (24)

Leeb, Hannes (15)

Pötscher, Benedikt (15)

Hansen, Christian (13)

Tetenov, Aleksey (12)

Caner, Mehmet (10)

Marcellino, Massimiliano (9)

Stoye, Jörg (9)

Teräsvirta, Timo (8)

Watson, Mark (6)

Main data

Where Anders Bredahl Kock has published?

Journals with more than one article published# docs
Journal of Econometrics4
Econometric Theory4
Econometric Reviews3
Journal of Business & Economic Statistics2

Working Papers Series with more than one paper published# docs
Papers / arXiv.org10
Tinbergen Institute Discussion Papers / Tinbergen Institute2

Recent works citing Anders Bredahl Kock (2025 and 2024)

YearTitle of citing document
2024Online Action Learning in High Dimensions: A Conservative Perspective. (2024). Medeiros, Marcelo ; Flores, Claudio C. In: Papers. RePEc:arx:papers:2009.13961.

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2024Estimation of Optimal Dynamic Treatment Assignment Rules under Policy Constraints. (2024). Sakaguchi, Shosei. In: Papers. RePEc:arx:papers:2106.05031.

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2025Estimation and Inference in High-Dimensional Panel Data Models with Interactive Fixed Effects. (2024). LINTON, OLIVER ; Vogt, Michael ; Walsh, Christopher. In: Papers. RePEc:arx:papers:2206.12152.

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2024Local Projection Inference in High Dimensions. (2024). Wilms, Ines ; Smeekes, Stephan ; Adamek, Robert. In: Papers. RePEc:arx:papers:2209.03218.

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2024The boosted HP filter is more general than you might think. (2024). Shi, Zhentao ; Phillips, Peter ; Mei, Ziwei. In: Papers. RePEc:arx:papers:2209.09810.

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2024On LASSO for High Dimensional Predictive Regression. (2024). Mei, Ziwei ; Shi, Zhentao. In: Papers. RePEc:arx:papers:2212.07052.

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2025Sparse High-Dimensional Vector Autoregressive Bootstrap. (2023). Wilms, Ines ; Smeekes, Stephan ; Adamek, Robert. In: Papers. RePEc:arx:papers:2302.01233.

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2025Asymptotic Representations for Sequential Decisions, Adaptive Experiments, and Batched Bandits. (2025). Hirano, Keisuke ; Porter, Jack R. In: Papers. RePEc:arx:papers:2302.03117.

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2024Estimation of Grouped Time-Varying Network Vector Autoregression Models. (2024). Li, Degui ; Wu, Wei Biao ; Tang, Songqiao ; Peng, Bin. In: Papers. RePEc:arx:papers:2303.10117.

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2024Expected Shortfall LASSO. (2024). Barendse, Sander. In: Papers. RePEc:arx:papers:2307.01033.

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2024Arellano-Bond LASSO Estimator for Dynamic Linear Panel Models. (2024). Chernozhukov, Victor ; Wang, Weining ; Fern, Iv'An ; Huang, Chen. In: Papers. RePEc:arx:papers:2402.00584.

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2024Information-Enriched Selection of Stationary and Non-Stationary Autoregressions using the Adaptive Lasso. (2024). Reinschlussel, Thilo ; Arnold, Martin C. In: Papers. RePEc:arx:papers:2402.16580.

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2025Navigating Complexity: Constrained Portfolio Analysis in High Dimensions with Tracking Error and Weight Constraints. (2024). Caner, Mehmet ; Li, Yingying ; Fan, Qingliang. In: Papers. RePEc:arx:papers:2402.17523.

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2024Estimating Contagion Mechanism in Global Equity Market with Time-Zone Effect. (2024). Chen, Muzi ; Huang, Difang ; Wu, Boyao. In: Papers. RePEc:arx:papers:2404.04335.

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2025Uniform Inference in High-Dimensional Threshold Regression Models. (2024). Li, Jiatong ; Yan, Hongqiang. In: Papers. RePEc:arx:papers:2404.08105.

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2025A Primer on the Analysis of Randomized Experiments and a Survey of some Recent Advances. (2025). Tabord-Meehan, Max ; Shaikh, Azeem ; Bai, Yuehao. In: Papers. RePEc:arx:papers:2405.03910.

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2025Robust Estimation and Inference for High-Dimensional Panel Data Models. (2025). GAO, Jiti ; Yan, Yayi ; Peng, Bin. In: Papers. RePEc:arx:papers:2405.07420.

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2024Reduced-Rank Matrix Autoregressive Models: A Medium $N$ Approach. (2024). Wilms, Ines ; Hecq, Alain ; Ricardo, Ivan. In: Papers. RePEc:arx:papers:2407.07973.

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2024Double/Debiased CoCoLASSO of Treatment Effects with Mismeasured High-Dimensional Control Variables. (2024). Song, Suyong ; Kim, Geonwoo. In: Papers. RePEc:arx:papers:2408.14671.

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2024Performance of Empirical Risk Minimization For Principal Component Regression. (2024). Brownlees, Christian ; Wang, Yaping ; Gudhmundsson, Gudhmundur Stef'An. In: Papers. RePEc:arx:papers:2409.03606.

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2024Econometric Inference for High Dimensional Predictive Regressions. (2024). Lee, Ji Hyung ; Mei, Ziwei ; Shi, Zhentao ; Gao, Zhan. In: Papers. RePEc:arx:papers:2409.10030.

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2025A Dimension-Agnostic Bootstrap Anderson-Rubin Test For Instrumental Variable Regressions. (2024). Wang, Wenjie ; Zhang, Yichong ; Lim, Dennis. In: Papers. RePEc:arx:papers:2412.01603.

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2024Geometric Deep Learning for Realized Covariance Matrix Forecasting. (2024). Zhang, Chao ; Palma, Michele ; Bucci, Andrea. In: Papers. RePEc:arx:papers:2412.09517.

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2025VAR models with an index structure: A survey with new results. (2024). Cubadda, Gianluca. In: Papers. RePEc:arx:papers:2412.11278.

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2025Inference in High-Dimensional Panel Models: Two-Way Dependence and Unobserved Heterogeneity. (2025). Chen, Kaicheng. In: Papers. RePEc:arx:papers:2504.18772.

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2025An Empirical Comparison of Weak-IV-Robust Procedures in Just-Identified Models. (2025). Li, Wenze. In: Papers. RePEc:arx:papers:2506.18001.

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2025Wild Bootstrap Inference for Linear Regressions with Many Covariates. (2025). Li, Wenze. In: Papers. RePEc:arx:papers:2506.20972.

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2025Robust Inference with High-Dimensional Instruments. (2025). Jaidee, Sombut ; Feng, QU ; Wang, Wenjie. In: Papers. RePEc:arx:papers:2506.23834.

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2025Heterogeneity Analysis with Heterogeneous Treatments. (2025). Knaus, Michael ; Heiler, Phillip. In: Papers. RePEc:arx:papers:2507.01517.

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2025A Practitioners Guide to AI+ML in Portfolio Investing. (2025). Qingliang, Mehmet Caner. In: Papers. RePEc:arx:papers:2509.25456.

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2025Beyond the Oracle Property: Adaptive LASSO in Cointegrating Regressions. (2025). Schneider, Ulrike ; Reichold, Karsten. In: Papers. RePEc:arx:papers:2510.07204.

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2025Estimation of High-dimensional Nonlinear Vector Autoregressive Models. (2025). Han, Yuefeng ; Chen, Likai ; Wu, Wei Biao. In: Papers. RePEc:arx:papers:2511.18641.

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2024Arellano-bond lasso estimator for dynamic linear panel models. (2024). Fernandez-Val, Ivan ; Chernozhukov, Victor ; Wang, Weining ; Huang, Chen. In: CeMMAP working papers. RePEc:azt:cemmap:09/24.

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2024Estimation and Inference in High-Dimensional Panel Data Models with Interactive Fixed Effects. (2024). LINTON, OLIVER ; Walsh, C ; Vogt, M ; Raucker, M. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2467.

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2024Estimation and Inference in High-Dimensional Panel Data Models with Interactive Fixed Effects. (2024). Walsh, C ; Vogt, M ; Rcker, M ; Linton, O B. In: Janeway Institute Working Papers. RePEc:cam:camjip:2429.

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2025Forecasting Dutch inflation using machine learning methods. (2025). de Winter, Jasper ; Rasiawan, Rajni ; Berben, Robert-Paul. In: Working Papers. RePEc:dnb:dnbwpp:828.

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2025Real-time GARCH@CARR: A joint model of returns, realized measure of volatility and current intraday information. (2025). Xu, Buyun ; Wu, Zhimin. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:76:y:2025:i:c:s1062940825000087.

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2024.

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2024Sparse generalized Yule–Walker estimation for large spatio-temporal autoregressions with an application to NO2 satellite data. (2024). Reuvers, Hanno ; Wijler, Etienne. In: Journal of Econometrics. RePEc:eee:econom:v:239:y:2024:i:1:s0304407623002361.

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2024On LASSO for high dimensional predictive regression. (2024). Mei, Ziwei ; Shi, Zhentao. In: Journal of Econometrics. RePEc:eee:econom:v:242:y:2024:i:2:s0304407624001556.

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2024Scenario-based quantile connectedness of the U.S. interbank liquidity risk network. (2024). Bai, Jushan ; Ando, Tomohiro ; Vojtech, Cindy M ; Lu, Lina. In: Journal of Econometrics. RePEc:eee:econom:v:244:y:2024:i:2:s0304407624001325.

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2025Estimating time-varying networks for high-dimensional time series. (2025). Chen, Jia ; Li, Degui ; Linton, Oliver. In: Journal of Econometrics. RePEc:eee:econom:v:249:y:2025:i:pc:s0304407624002926.

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2024Technological shocks and stock market volatility over a century. (2024). Salisu, Afees ; GUPTA, RANGAN ; Demirer, Riza. In: Journal of Empirical Finance. RePEc:eee:empfin:v:79:y:2024:i:c:s0927539824000951.

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2025Forecasting multivariate volatilities with exogenous predictors: An application to industry diversification strategies. (2025). GUPTA, RANGAN ; Demirer, Riza ; Cepni, Oguzhan ; Luo, Jiawen. In: Journal of Empirical Finance. RePEc:eee:empfin:v:81:y:2025:i:c:s0927539825000179.

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2024Gold market volatility and REITs returns during tranquil and turbulent episodes. (2024). Salisu, Afees ; Hammed, Yinka S ; Akinsomi, Omokolade ; Ametefe, Frank Kwakutse. In: International Review of Financial Analysis. RePEc:eee:finana:v:95:y:2024:i:pa:s1057521924002801.

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2025Forecasting realized volatility with spillover effects: Perspectives from graph neural networks. (2025). Cucuringu, Mihai ; Dong, Xiaowen ; Zhang, Chao ; Pu, Xingyue. In: International Journal of Forecasting. RePEc:eee:intfor:v:41:y:2025:i:1:p:377-397.

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2025SpotV2Net: Multivariate intraday spot volatility forecasting via vol-of-vol-informed graph attention networks. (2025). Toscano, Giacomo ; Brini, Alessio. In: International Journal of Forecasting. RePEc:eee:intfor:v:41:y:2025:i:3:p:1093-1111.

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2025Inference of Impulse Responses via Bayesian Graphical Structural VAR Models. (2025). Ahelegbey, Daniel Felix. In: Econometrics. RePEc:gam:jecnmx:v:13:y:2025:i:2:p:15-:d:1626420.

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2024Boosting and Predictability of Macroeconomic Variables: Evidence from Brazil. (2024). Torrent, Hudson Silva ; Lindenmeyer, Guilherme Schultz. In: Computational Economics. RePEc:kap:compec:v:64:y:2024:i:1:d:10.1007_s10614-023-10421-3.

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2024Autoregressive Random Forests: Machine Learning and Lag Selection for Financial Research. (2024). Polyzos, Efstathios ; Siriopoulos, Costas. In: Computational Economics. RePEc:kap:compec:v:64:y:2024:i:1:d:10.1007_s10614-023-10429-9.

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2024Implementation of the ARIMA model for prediction of economic variables: evidence from the health sector in Brazil. (2024). Su, Zhaohui ; Girotto, Felipe Mendes ; Bittencourt, Diego Antonio ; da Veiga, Claudimar Pereira ; Pereira, Cassia Rita. In: Palgrave Communications. RePEc:pal:palcom:v:11:y:2024:i:1:d:10.1057_s41599-024-03023-3.

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2024Penalized Convex Estimation in Dynamic Location-Scale models. (2024). Chentoufi, Reda Alami. In: MPRA Paper. RePEc:pra:mprapa:123283.

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2025The Role of Uncertainty in Forecasting Realized Covariance of US State-Level Stock Returns: A Reverse-MIDAS Approach. (2025). GUPTA, RANGAN ; Cepni, Oguzhan ; Fu, Shengjie ; Luo, Jiawen. In: Working Papers. RePEc:pre:wpaper:202501.

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2025VAR Models With An Index Structure: A Survey With New Results. (2025). Cubadda, Gianluca. In: CEIS Research Paper. RePEc:rtv:ceisrp:611.

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2025Testing overidentifying restrictions on high-dimensional instruments and covariates. (2025). Guo, XU ; Zhang, Xinyu ; Wang, Chenyang ; He, Baihua ; Shi, Hongwei. In: Annals of the Institute of Statistical Mathematics. RePEc:spr:aistmt:v:77:y:2025:i:2:d:10.1007_s10463-024-00918-5.

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2024Bandit algorithms for policy learning: methods, implementation, and welfare-performance. (2024). Rowley, Jeff ; Kitagawa, Toru. In: The Japanese Economic Review. RePEc:spr:jecrev:v:75:y:2024:i:3:d:10.1007_s42973-024-00165-6.

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2024The contagion between stock markets: evidence from Vietnam and Asian emerging stocks in the context of COVID-19 Pandemic. (2024). Minh, Le Thi. In: Macroeconomics and Finance in Emerging Market Economies. RePEc:taf:macfem:v:17:y:2024:i:1:p:78-94.

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2025A Neural Network-VAR for Long-Term Forecasting: An Application to Monetary Policy Effects in the Euro Area. (2025). Basso, Antonella ; Visentin, Guglielmo Alessandro ; Corazza, Marco ; Barro, Diana. In: Working Papers. RePEc:ven:wpaper:2025:24.

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2024The boosted Hodrick‐Prescott filter is more general than you might think. (2024). Phillips, Peter ; Mei, Ziwei ; Shi, Zhentao. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:39:y:2024:i:7:p:1260-1281.

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2024Air pollution, weather factors, and realized volatility forecasts of agricultural commodity futures. (2024). Zhang, Qun ; Luo, Jiawen. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:44:y:2024:i:2:p:151-217.

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2025Estimation of optimal dynamic treatment assignment rules under policy constraints. (2025). Sakaguchi, Shosei. In: Quantitative Economics. RePEc:wly:quante:v:16:y:2025:i:3:p:981-1022.

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2025AI shrinkage: a data-driven approach for risk-optimized portfolios. (2025). De Nard, Gianluca ; Kostovic, Damjan. In: ECON - Working Papers. RePEc:zur:econwp:470.

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Works by Anders Bredahl Kock:

YearTitleTypeCited
2009Forecasting with Universal Approximators and a Learning Algorithm In: CREATES Research Papers.
[Full Text][Citation analysis]		paper2
2011Forecasting 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
2010Forecasting with nonlinear time series models In: CREATES Research Papers.
[Full Text][Citation analysis]		paper14
2010Oracle Efficient Variable Selection in Random and Fixed Effects Panel Data Models In: CREATES Research Papers.
[Full Text][Citation analysis]		paper16
2013ORACLE 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: 16		article
2011Forecasting Macroeconomic Variables using Neural Network Models and Three Automated Model Selection Techniques In: CREATES Research Papers.
[Full Text][Citation analysis]		paper17
2016Forecasting 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: 17		article
2011Forecasting performance of three automated modelling techniques during the economic crisis 2007-2009 In: CREATES Research Papers.
[Full Text][Citation analysis]		paper20
2014Forecasting 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: 20		article
2012On the Oracle Property of the Adaptive Lasso in Stationary and Nonstationary Autoregressions In: CREATES Research Papers.
[Full Text][Citation analysis]		paper9
2012Oracle Inequalities for High Dimensional Vector Autoregressions In: CREATES Research Papers.
[Full Text][Citation analysis]		paper118
2015Oracle inequalities for high dimensional vector autoregressions.(2015) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 118		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]		paper9
2013Oracle inequalities for high-dimensional panel data models In: CREATES Research Papers.
[Full Text][Citation analysis]		paper3
2013Lassoing the Determinants of Retirement In: CREATES Research Papers.
[Full Text][Citation analysis]		paper0
2016Lassoing the Determinants of Retirement.(2016) In: Econometric Reviews.
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This paper has nother version. Agregated cites: 0		article
2013Oracle Inequalities for Convex Loss Functions with Non-Linear Targets In: CREATES Research Papers.
[Full Text][Citation analysis]		paper1
2016Oracle Inequalities for Convex Loss Functions with Nonlinear Targets.(2016) In: Econometric Reviews.
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This paper has nother version. Agregated cites: 1		article
2014Asymptotically Honest Confidence Regions for High Dimensional Parameters by the Desparsified Conservative Lasso In: CREATES Research Papers.
[Full Text][Citation analysis]		paper36
2018Asymptotically honest confidence regions for high dimensional parameters by the desparsified conservative Lasso.(2018) In: Journal of Econometrics.
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This paper has nother version. Agregated cites: 36		article
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.
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This paper has nother version. Agregated cites: 2		paper
2014Inference in High-dimensional Dynamic Panel Data Models In: CREATES Research Papers.
[Full Text][Citation analysis]		paper3
2015Sharp Threshold Detection Based on Sup-norm Error rates in High-dimensional Models In: CREATES Research Papers.
[Full Text][Citation analysis]		paper2
2017Sharp Threshold Detection Based on Sup-Norm Error Rates in High-Dimensional Models.(2017) In: Journal of Business & Economic Statistics.
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This paper has nother version. Agregated cites: 2		article
2015Sharp Threshold Detection based on Sup-Norm Error Rates in High-dimensional Models.(2015) In: Tinbergen Institute Discussion Papers.
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This paper has nother version. Agregated cites: 2		paper
2016Inference in partially identified models with many moment inequalities using Lasso In: CREATES Research Papers.
[Full Text][Citation analysis]		paper4
2018Optimal sequential treatment allocation In: Papers.
[Full Text][Citation analysis]		paper2
2020Functional Sequential Treatment Allocation In: Papers.
[Full Text][Citation analysis]		paper9
2022Functional Sequential Treatment Allocation.(2022) In: Journal of the American Statistical Association.
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This paper has nother version. Agregated cites: 9		article
2020Functional Sequential Treatment Allocation with Covariates In: Papers.
[Full Text][Citation analysis]		paper3
2024FUNCTIONAL SEQUENTIAL TREATMENT ALLOCATION WITH COVARIATES.(2024) In: Econometric Theory.
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This paper has nother version. Agregated cites: 3		article
2022Treatment recommendation with distributional targets In: Papers.
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2023Treatment recommendation with distributional targets.(2023) In: Journal of Econometrics.
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This paper has nother version. Agregated cites: 2		article
2022Superconsistency of Tests in High Dimensions In: Papers.
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2023A Ridge-Regularised Jackknifed Anderson-Rubin Test In: Papers.
[Full Text][Citation analysis]		paper5
2024A Ridge-Regularized Jackknifed Anderson-Rubin Test.(2024) In: Journal of Business & Economic Statistics.
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This paper has nother version. Agregated cites: 5		article
2024A remark on moment-dependent phase transitions in high-dimensional Gaussian approximations In: Papers.
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2024A remark on moment-dependent phase transitions in high-dimensional Gaussian approximations.(2024) In: Statistics & Probability Letters.
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This paper has nother version. Agregated cites: 0		article
2025Regularizing Fairness in Optimal Policy Learning with Distributional Targets In: Papers.
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2024Data-Driven Tuning Parameter Selection for High-Dimensional Vector Autoregressions In: Papers.
[Full Text][Citation analysis]		paper0
2024Enhanced power enhancements for testing many moment equalities: Beyond the $2$- and $\infty$-norm In: Papers.
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2016CONSISTENT AND CONSERVATIVE MODEL SELECTION WITH THE ADAPTIVE LASSO IN STATIONARY AND NONSTATIONARY AUTOREGRESSIONS In: Econometric Theory.
[Full Text][Citation analysis]		article25
2019UNIFORM INFERENCE IN HIGH-DIMENSIONAL DYNAMIC PANEL DATA MODELS WITH APPROXIMATELY SPARSE FIXED EFFECTS In: Econometric Theory.
[Full Text][Citation analysis]		article14
2017Power in High-dimensional testing Problems In: Working Papers ECARES.
[Full Text][Citation analysis]		paper6
2019Power in High‐Dimensional Testing Problems.(2019) In: Econometrica.
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This paper has nother version. Agregated cites: 6		article
2016Oracle inequalities, variable selection and uniform inference in high-dimensional correlated random effects panel data models In: Journal of Econometrics.
[Full Text][Citation analysis]		article15
2013Forecasting the Finnish Consumer Price Inflation Using Artificial Neural Network Models and Three Automated Model Selection Techniques In: Finnish Economic Papers.
[Full Text][Citation analysis]		article16
2017Modeling and Forecasting Large Realized Covariance Matrices and Portfolio Choice In: Journal of Applied Econometrics.
[Full Text][Citation analysis]		article60

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