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Expected Shortfall LASSO

3 July 2023

Papers citing "Expected Shortfall LASSO"

4 / 4 papers shown

Title
Lasso Inference for High-Dimensional Time Series R. Adámek Stephan Smeekes Ines Wilms AI4TS 71 34 0 21 Jul 2020
High-Dimensional Granger Causality Tests with an Application to VIX and News Andrii Babii Eric Ghysels Jonas Striaukas 44 104 0 13 Dec 2019
Oracle Inequalities for High Dimensional Vector Autoregressions Anders Bredahl Kock Laurent Callot 108 231 0 04 Nov 2013
Autoregressive Process Modeling via the Lasso Procedure Yuval Nardi Alessandro Rinaldo 108 157 0 08 May 2008