research
∙
09/11/2022
Large covariance matrix estimation via penalized log-det heuristics
This paper provides a comprehensive estimation framework for large covar...
share
research
∙
04/25/2021
Robust selection of predictors and conditional outlier detection in a perturbed large-dimensional regression context
This paper presents a fast methodology, called ROBOUT, to identify outli...
research
∙
04/06/2021
Large factor model estimation by nuclear norm plus l_1 norm penalization
This paper provides a comprehensive estimation framework via nuclear nor...
research
∙
04/05/2021
An algebraic estimator for large spectral density matrices
We propose a new estimator of high-dimensional spectral density matrices...
research
∙
12/10/2019
European banks' business models and their credit risk: A cluster analysis in a high-dimensional context
In this paper, we investigate the credit risk in the loan portfolio of b...
research
∙
03/01/2018
Exploring the relationship between money stock and GDP in the Euro Area via a bootstrap test for Granger-causality in the frequency domain
The question regarding the relationship between money stock and GDP in t...
research
∙
11/24/2017
