Classes
Publications
- Almost unbiased variance estimation in linear regressions with many covariates2018 | Publication without faculty affiliation
- Uncovering the skewness news impact curve2016 | Publication without faculty affiliation
- 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
- 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
- MEM or/and LogARMA: which model for realized volatility?2022 | 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
- Limit theorems for factor models2021 | Faculty of Social Sciences, Faculty of Mathematics and Physics, Centre for Economic Research and Graduate Education
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