8 citations · 8 across the 3 of their papers we have counts for
4 papers
Interpretable Vector AutoRegressions with Exogenous Time Series
Ines Wilms, Sumanta Basu, Jacob Bien +1
The Vector AutoRegressive (VAR) model is fundamental to the study of multivariate time series. Although VAR models are intensively investigated by many researchers, practitioners o…
Volatility Spillovers and Heavy Tails: A Large t-Vector AutoRegressive Approach
Luca Barbaglia, Christophe Croux, Ines Wilms
Volatility is a key measure of risk in financial analysis. The high volatility of one financial asset today could affect the volatility of another asset tomorrow. These lagged effe…
Multi-class Vector AutoRegressive Models for Multi-store Sales Data
Ines Wilms, Luca Barbaglia, Christophe Croux
Retailers use the Vector AutoRegressive (VAR) model as a standard tool to estimate the effects of prices, promotions and sales in one product category on the sales of another produ…
Identifying Demand Effects in a Large Network of Product Categories
Sarah Gelper, Ines Wilms, Christophe Croux
Planning marketing mix strategies requires retailers to understand within- as well as cross-category demand effects. Most retailers carry products in a large variety of categories,…