236 citations · 302 across the 10 of their papers we have counts for
16 papers
Robust XGBoosting for Regression
Iris Aragón Mladosich, Christophe Croux
XGBoost is a very popular and powerful method for prediction. It iteratively fits simple decision trees to the residuals of the previous step. An efficient and scalable implementat…
Detecting Anti-dumping Circumvention: A Network Approach
Luca Barbaglia, Christophe Croux, Ines Wilms
Despite the increasing integration of the global economic system, anti-dumping measures are a common tool used by governments to protect their national economy. In this paper, we p…
Robust multivariate methods in Chemometrics
Peter Filzmoser, Sven Serneels, Ricardo Maronna +1
This chapter presents an introduction to robust statistics with applications of a chemometric nature. Following a description of the basic ideas and concepts behind robust statisti…
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…
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…