Frequency causality measures and Vector AutoRegressive (VAR) models : an improved subset selection method suited to parsimonious systems
Year of publication: |
[2021]
|
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Authors: | Chorro, Christophe ; Jay, Emmanuelle ; De Peretti, Philippe ; Soler, Thibault |
Publisher: |
Paris : Centre d'économie de la Sorbonne |
Subject: | VAR model | subset selection methods | frequency causality measures | weighted financial networks | portfolio allocation | VAR-Modell | Schätztheorie | Estimation theory | Kausalanalyse | Causality analysis | Zeitreihenanalyse | Time series analysis | Portfolio-Management | Portfolio selection | Messung | Measurement |
Extent: | 1 Online-Ressource (circa 36 Seiten) Illustrationen |
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Series: | Documents de travail du Centre d'Economie de la Sorbonne. - Paris, ISSN 1955-611X, ZDB-ID 2465228-3. - Vol. 2021, 13 |
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Graue Literatur ; Non-commercial literature ; Arbeitspapier ; Working Paper |
Language: | English |
Source: | ECONIS - Online Catalogue of the ZBW |
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