Details about Laurent Callot

Access statistics for papers by Laurent Callot.

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

Short-id: pca622

Working Papers

2015

1. Regularized Estimation of Structural Instability in Factor Models: The US Macroeconomy and the Great Moderation
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University
   Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2015)
   See also Chapter Regularized Estimation of Structural Instability in Factor Models: The US Macroeconomy and the Great Moderation, Advances in Econometrics, Emerald Group Publishing Limited (2016) (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 View citations (1)
   Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2015)
   See also Journal Article Sharp Threshold Detection Based on Sup-Norm Error Rates in High-Dimensional Models, Journal of Business & Economic Statistics, Taylor & Francis Journals (2017) View citations (1) (2017)
3. Vector Autoregressions with parsimoniously Time Varying Parameters and an Application to Monetary Policy
   Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (5)
   Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2014) View citations (4)

2014

4. Deterministic and stochastic trends in the Lee-Carter mortality model
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (3)
   See also Journal Article Deterministic and stochastic trends in the Lee–Carter mortality model, Applied Economics Letters, Taylor & Francis Journals (2016) View citations (4) (2016)
5. Estimation and Forecasting of Large Realized Covariance Matrices and Portfolio Choice
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (2)
   Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2014) View citations (2)

2012

6. 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 View citations (9)
7. Oracle Inequalities for High Dimensional Vector Autoregressions
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (21)
   See also Journal Article Oracle inequalities for high dimensional vector autoregressions, Journal of Econometrics, Elsevier (2015) View citations (99) (2015)

2010

8. A Bootstrap Cointegration Rank Test for Panels of VAR Models
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (1)
9. 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 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 View citations (53)
2. Sharp Threshold Detection Based on Sup-Norm Error Rates in High-Dimensional Models
   Journal of Business & Economic Statistics, 2017, 35, (2), 250-264 View citations (1)
   See also Working Paper Sharp Threshold Detection Based on Sup-norm Error rates in High-dimensional Models, CREATES Research Papers (2015) View citations (1) (2015)

2016

3. Deterministic and stochastic trends in the Lee–Carter mortality model
   Applied Economics Letters, 2016, 23, (7), 486-493 View citations (4)
   See also Working Paper Deterministic and stochastic trends in the Lee-Carter mortality model, CREATES Research Papers (2014) View citations (3) (2014)

2015

4. Oracle inequalities for high dimensional vector autoregressions
   Journal of Econometrics, 2015, 186, (2), 325-344 View citations (99)
   See also Working Paper Oracle Inequalities for High Dimensional Vector Autoregressions, CREATES Research Papers (2012) View citations (21) (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
   See also Working Paper Regularized Estimation of Structural Instability in Factor Models: The US Macroeconomy and the Great Moderation, Department of Economics and Business Economics, Aarhus University (2015) (2015)