Alain Hecq | DeepAI

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Li Sun
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Luca Margaritella
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research

∙ 01/25/2023

Hierarchical Regularizers for Reverse Unrestricted Mixed Data Sampling Regressions

Reverse Unrestricted MIxed DAta Sampling (RU-MIDAS) regressions are used...

0 Alain Hecq, et al. ∙

research

∙ 02/23/2021

Hierarchical Regularizers for Mixed-Frequency Vector Autoregressions

Mixed-frequency Vector AutoRegressions (MF-VAR) model the dynamics betwe...

0 Alain Hecq, et al. ∙

research

∙ 02/02/2021

Adaptive Random Bandwidth for Inference in CAViaR Models

This paper investigates the size performance of Wald tests for CAViaR mo...

0 Alain Hecq, et al. ∙

research

∙ 02/28/2019

Granger Causality Testing in High-Dimensional VARs: a Post-Double-Selection Procedure

In this paper we develop an LM test for Granger causality in high-dimens...

0 Alain Hecq, et al. ∙