21 citations · 73 across the 29 of their papers we have counts for
3 papers · 1 filter
A penalized two-pass regression to predict stock returns with time-varying risk premia
Gaetan Bakalli, Stéphane Guerrier, Olivier Scaillet
We develop a penalized two-pass regression with time-varying factor loadings. The penalization in the first pass enforces sparsity for the time-variation drivers while also maintai…
The Generalized Method of Wavelet Moments with Exogenous Inputs: a Fast Approach for the Analysis of GNSS Position Time Series
Davide A. Cucci, Lionel Voirol, Gaël Kermarrec +2
The Global Navigation Satellite System (GNSS) daily position time series are often described as the sum of stochastic processes and geophysical signals which allow studying global…
Just Identified Indirect Inference Estimator: Accurate Inference through Bias Correction
Yuming Zhang, Yanyuan Ma, Samuel Orso +3
An important challenge in statistical analysis lies in controlling the estimation bias when handling the ever-increasing data size and model complexity of modern data settings. In…