8 citations · 19 across the 15 of their papers we have counts for
4 papers · 1 filter
Lasso-based forecast combinations for forecasting realized variances
Ines Wilms, Jeroen Rombouts, Christophe Croux
Volatility forecasts are key inputs in financial analysis. While lasso based forecasts have shown to perform well in many applications, their use to obtain volatility forecasts has…
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…
The predictive power of the business and bank sentiment of firms: A high-dimensional Granger Causality approach
Ines Wilms, Sarah Gelper, Christophe Croux
We study the predictive power of industry-specific economic sentiment indicators for future macro-economic developments. In addition to the sentiment of firms towards their own bus…
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,…