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Details about Laurent Callot

E-mail:
Homepage:http://lcallot.github.io
Workplace:Afdeling Econometrie and Operations Research (Department of Econometrics and Operations Research), School of Business and Economics, Vrije Universiteit Amsterdam (VU University Amsterdam), (more information at EDIRC)
Center for Research in Econometric Analysis of Time Series (CREATES), Institut for Økonomi (Department of Economics and Business), Aarhus Universitet (University of Aarhus), (more information at EDIRC)
Tinbergen Instituut (Tinbergen Institute), (more information at EDIRC)

Access statistics for papers by Laurent Callot.

Last updated 2018-01-28. Update your information in the RePEc Author Service.

Short-id: pca622


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Working Papers

2015

  1. Regularized Estimation of Structural Instability in Factor Models: The US Macroeconomy and the Great Moderation
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2015) Downloads

    See also Chapter (2016)
  2. Sharp Threshold Detection Based on Sup-norm Error rates in High-dimensional Models
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (1)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2015) Downloads

    See also Journal Article in Journal of Business & Economic Statistics (2017)
  3. Vector Autoregressions with parsimoniously Time Varying Parameters and an Application to Monetary Policy
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (2)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2014) Downloads

2014

  1. Deterministic and stochastic trends in the Lee-Carter mortality model
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (2)
    See also Journal Article in Applied Economics Letters (2016)
  2. Estimation and Forecasting of Large Realized Covariance Matrices and Portfolio Choice
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (2)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2014) Downloads View citations (2)

2012

  1. Oracle Efficient Estimation and Forecasting with the Adaptive LASSO and the Adaptive Group LASSO in Vector Autoregressions
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (5)
  2. Oracle Inequalities for High Dimensional Vector Autoregressions
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (20)
    See also Journal Article in Journal of Econometrics (2015)

2010

  1. A Bootstrap Cointegration Rank Test for Panels of VAR Models
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (1)
  2. Natural funnel asymmetries. A simulation analysis of the three basic tools of meta analysis
    Economics Working Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (4)

Journal Articles

2017

  1. Modeling and Forecasting Large Realized Covariance Matrices and Portfolio Choice
    Journal of Applied Econometrics, 2017, 32, (1), 140-158 Downloads View citations (6)
  2. Sharp Threshold Detection Based on Sup-Norm Error Rates in High-Dimensional Models
    Journal of Business & Economic Statistics, 2017, 35, (2), 250-264 Downloads
    See also Working Paper (2015)

2016

  1. Deterministic and stochastic trends in the Lee–Carter mortality model
    Applied Economics Letters, 2016, 23, (7), 486-493 Downloads View citations (2)
    See also Working Paper (2014)

2015

  1. Oracle inequalities for high dimensional vector autoregressions
    Journal of Econometrics, 2015, 186, (2), 325-344 Downloads View citations (24)
    See also Working Paper (2012)

Chapters

2016

  1. Regularized Estimation of Structural Instability in Factor Models: The US Macroeconomy and the Great Moderation
    A chapter in Dynamic Factor Models, 2016, vol. 35, pp 437-479 Downloads
    See also Working Paper (2015)
 
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