Regularized estimation of structural instability in factor models : the US macroeconomy and the great moderation

von Callot, Laurent
Veröffentlicht in Dynamic factor models (2016)

Oracle inequalities for high dimensional vector autoregressions

von Kock, Anders Bredahl
Veröffentlicht in Journal of econometrics (2015)

Deterministic and stochastic trends in the Lee-Carter mortality model

von Callot, Laurent
Veröffentlicht in Applied economics letters (2016)

Oracle efficient estimation and forecasting with the adaptive Lasso and the adaptive group Lasso in vector autoregressions

von Callot, Laurent A. F.
Veröffentlicht in Essays in nonlinear time series econometrics (2014)

Online false discovery rate control for anomaly detection in time series

von Rebjock, Quentin
Veröffentlicht in NeurIPS (35. : 2021 : Online) 35th Conference on Neural Information Processing Systems (NeurIPS 2021) ; Volume 32 of 36 (2022)

Modeling and forecasting large realized covariance matrices and portfolio choice

von Callot, Laurent A. F.
Veröffentlicht in Journal of applied econometrics (2017)

Sharp threshold detection based on sup-norm error rates in high-dimensional models

von Callot, Laurent
Veröffentlicht in Journal of business & economic statistics (2017)

HIGH-DIMENSIONAL MULTIVARIATE FORECASTING WITH LOW-RANK GAUSSIAN COPULA PROCESSES

von Salinas, David
Veröffentlicht in NeurIPS (33. : 2019 : Vancouver, British Columbia) 32nd Conference on Neural Information Processing Systems (NeurIPS 2019) ; Volume 9 of 20 (2020)

Criteria for classifying forecasting methods

von Januschowski, Tim
Veröffentlicht in International journal of forecasting (2020)