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01/25/2023
Hierarchical Regularizers for Reverse Unrestricted Mixed Data Sampling Regressions
Reverse Unrestricted MIxed DAta Sampling (RU-MIDAS) regressions are used...
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02/23/2021
Hierarchical Regularizers for Mixed-Frequency Vector Autoregressions
Mixed-frequency Vector AutoRegressions (MF-VAR) model the dynamics betwe...
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02/02/2021
Adaptive Random Bandwidth for Inference in CAViaR Models
This paper investigates the size performance of Wald tests for CAViaR mo...
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02/28/2019