Similar Search Results

The predictive power of the business and bank sentiment of firms : a high-dimensional Granger causality approach

Wilms, Ines; Gelper, Sarah; Croux, Christophe - In: European journal of operational research : EJOR 254 (2016) 1, pp. 138-147

Persistent link: https://www.econbiz.de/10011503231

Forecasting using sparse cointegration

Wilms, Ines; Croux, Christophe - In: International journal of forecasting 32 (2016) 4, pp. 1256-1267

Persistent link: https://www.econbiz.de/10011622146

Volatility spillovers and heavy tails : a large t-Vector AutoRegressive approach

Barbaglia, Luca; Croux, Christophe; Wilms, Ines - 2017

Persistent link: https://www.econbiz.de/10011799030

White heteroscedasticty testing after outlier removal

Berenguer-Rico, Vanessa; Wilms, Ines - 2018

Persistent link: https://www.econbiz.de/10011910640

Volatility spillovers in commodity markets : a large t-vector autoregressive approach

Barbaglia, Luca; Croux, Christophe; Wilms, Ines - In: Energy economics 85 (2020), pp. 1-11

Persistent link: https://www.econbiz.de/10012509561

Heteroscedasticity testing after outlier removal

Berenguer-Rico, Vanessa; Wilms, Ines - In: Econometric reviews 40 (2021) 1, pp. 51-85

Persistent link: https://www.econbiz.de/10012483796

Local projection inference in high dimensions

Adamek, Robert; Smeekes, Stephan; Wilms, Ines - 2024

Persistent link: https://www.econbiz.de/10015357780

Sparse regression for large data sets with outliers

Bottmer, Lea; Croux, Christophe; Wilms, Ines - In: European journal of operational research : EJOR 297 (2022) 2, pp. 782-794

Persistent link: https://www.econbiz.de/10013259938

Sparse Cointegration

Wilms, Ines - 2014

Cointegration analysis is used to estimate the long-run equilibrium relations between several time series. The coefficients of these long-run equilibrium relations are the cointegrating vectors. In this paper, we provide a sparse estimator of the cointegrating vectors. The estimation technique...

Persistent link: https://www.econbiz.de/10013043549