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08/27/2023
High Dimensional Time Series Regression Models: Applications to Statistical Learning Methods
These lecture notes provide an overview of existing methodologies and re...
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05/18/2023
Statistical Estimation for Covariance Structures with Tail Estimates using Nodewise Quantile Predictive Regression Models
This paper considers the specification of covariance structures with tai...
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12/13/2021
Sequential Break-Point Detection in Stationary Time Series: An Application to Monitoring Economic Indicators
Monitoring economic conditions and financial stability with an early war...
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12/09/2021
Forecast Evaluation in Large Cross-Sections of Realized Volatility
In this paper, we consider the forecast evaluation of realized volatilit...
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10/23/2021