2 citations · 3 across the 3 of their papers we have counts for
4 papers
Machine-learning Growth at Risk
Tobias Adrian, Hongqi Chen, Max-Sebastian Dovì +1
We analyse growth vulnerabilities in the US using quantile partial correlation regression, a selection-based machine-learning method that achieves model selection consistency under…
Predictive Quantile Regression with High-Dimensional Predictors: The Variable Screening Approach
Hongqi Chen, Ji Hyung Lee
This paper advances a variable screening approach to enhance conditional quantile forecasts using high-dimensional predictors. We have refined and augmented the quantile partial co…
LASSO Inference for High Dimensional Predictive Regressions
Zhan Gao, Ji Hyung Lee, Ziwei Mei +1
LASSO inflicts shrinkage bias on estimated coefficients, which undermines asymptotic normality and invalidates standard inferential procedures based on the t-statistic. Given cross…
Stable Limit Theorems for Empirical Processes under Conditional Neighborhood Dependence
Ji Hyung Lee, Kyungchul Song
This paper introduces a new concept of stochastic dependence among many random variables which we call conditional neighborhood dependence (CND). Suppose that there are a set of ra…