90 citations · 169 across the 8 of their papers we have counts for
4 papers · 1 filter
A 2-stage elastic net algorithm for estimation of sparse networks with heavy tailed data
Davide Bernardini, Sandra Paterlini, Emanuele Taufer
We propose a new 2-stage procedure that relies on the elastic net penalty to estimate a network based on partial correlations when data are heavy-tailed. The new estimator allows t…
Environmental, Social, Governance scores and the Missing pillar -- Why does missing information matter?
Özge Sahin, Karoline Bax, Claudia Czado +1
Environmental, Social, and Governance (ESG) scores measure companies' performance concerning sustainability and societal impact and are organized on three pillars: Environmental (E…
ESG, Risk, and (Tail) Dependence
Karoline Bax, Özge Sahin, Claudia Czado +1
While environmental, social, and governance (ESG) trading activity has been a distinctive feature of financial markets, the debate if ESG scores can also convey information regardi…
New estimation approaches for graphical models with elastic net penalty
Davide Bernardini, Sandra Paterlini, Emanuele Taufer
In the context of undirected Gaussian graphical models, we introduce three estimators based on elastic net penalty for the underlying dependence graph. Our goal is to estimate the…