Classes
Publications
- Unrestricted, restricted, and regularized models for forecasting multivariate volatility2023 | Faculty of Social Sciences, Faculty of Mathematics and Physics, Centre for Economic Research and Graduate Education
- MEM or/and LogARMA: which model for realized volatility?2022 | Publication without faculty affiliation
- How does the financial market update beliefs about the real economy? Evidence from the oil market2021 | Faculty of Social Sciences, Faculty of Mathematics and Physics, Centre for Economic Research and Graduate Education
- Forecasting dynamic return distributions based on ordered binary choice2019 | Publication without faculty affiliation
- Formation of market beliefs in the oil marketPublication without faculty affiliation
- Testing many restrictions under heteroskedasticity✩2023 | Publication without faculty affiliation
- Copula shrinkage and portfolio allocation in ultra-high dimensions2022 | Faculty of Social Sciences, Faculty of Mathematics and Physics, Centre for Economic Research and Graduate Education
- Factor models with many assets: strong factors, weak factors, and the two-pass procedure2022 | Publication without faculty affiliation
- Directional news impact curve2021 | Faculty of Social Sciences, Faculty of Mathematics and Physics, Centre for Economic Research and Graduate Education
- Mallows criterion for heteroskedastic linear regressions with many regressors2021 | Faculty of Social Sciences, Faculty of Mathematics and Physics, Centre for Economic Research and Graduate Education
Loading network view...