7 citations · 8 across the 7 of their papers we have counts for
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math.ST2016
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…
math.ST2016
Inference in partially identified models with many moment inequalities using Lasso
Federico A. Bugni, Mehmet Caner, Anders Bredahl Kock +1
This paper considers inference in a partially identified moment (in)equality model with many moment inequalities. We propose a novel two-step inference procedure that combines the…