368 citations · 449 across the 18 of their papers we have counts for
3 papers · 1 filter
A Nodewise Regression Approach to Estimating Large Portfolios
Laurent Callot, Mehmet Caner, Esra Ulasan +1
This paper investigates the large sample properties of the variance, weights, and risk of high-dimensional portfolios where the inverse of the covariance matrix of excess asset ret…
Vector Autoregressions with Parsimoniously Time Varying Parameters and an Application to Monetary Policy
Laurent Callot, Johannes Tang Kristensen
This paper proposes a parsimoniously time varying parameter vector autoregressive model (with exogenous variables, VARX) and studies the properties of the Lasso and adaptive Lasso…
Oracle Inequalities for High Dimensional Vector Autoregressions
Anders Bredahl Kock, Laurent A. F. Callot
This paper establishes non-asymptotic oracle inequalities for the prediction error and estimation accuracy of the LASSO in stationary vector autoregressive models. These inequaliti…