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Influential assets in Large-Scale Vector AutoRegressive Models

https://doi.org/10.2139/ssrn.4619531
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What this work says

Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1002/jae.1137openalex-extracted
Large Bayesian vector auto regressions
inferredcites →https://doi.org/10.1007/bf03178905openalex-extracted
Wavelets in statistics: A review
inferredcites →https://doi.org/10.1007/s11142-014-9286-7openalex-extracted
Inter-industry network structure and the cross-predictability of earnings and stock returns
inferredcites →https://doi.org/10.1007/s11142-019-9487-1openalex-extracted
Intra-industry information transfers: evidence from changes in implied volatility around earnings announcements
inferredcites →https://doi.org/10.1016/j.ijforecast.2017.01.003openalex-extracted
VARX-L: Structured regularization for large vector autoregressions with exogenous variables
inferredcites →https://doi.org/10.1016/j.ijforecast.2018.02.001openalex-extracted
Online adaptive lasso estimation in vector autoregressive models for high dimensional wind power forecasting
inferredcites →https://doi.org/10.1016/j.jeconom.2015.02.013openalex-extracted
Oracle inequalities for high dimensional vector autoregressions
inferredcites →https://doi.org/10.1080/00401706.2023.2203184openalex-extracted
A General Modeling Framework for Network Autoregressive Processes
inferredcites →https://doi.org/10.1080/01621459.2018.1437043openalex-extracted
High-Dimensional Posterior Consistency in Bayesian Vector Autoregressive Models
inferredcites →https://doi.org/10.1080/07350015.2014.983236openalex-extracted
Comparing Predictive Accuracy, Twenty Years Later: A Personal Perspective on the Use and Abuse of Diebold–Mariano Tests
inferredcites →https://doi.org/10.1080/07350015.2021.1899933openalex-extracted
Machine Learning Time Series Regressions With an Application to Nowcasting
inferredcites →https://doi.org/10.1080/10618600.2012.681250openalex-extracted
A Sparse-Group Lasso
inferredcites →https://doi.org/10.1080/10618600.2015.1092978openalex-extracted
Sparse Vector Autoregressive Modeling
inferredcites →https://doi.org/10.1093/rfs/hhv042openalex-extracted
Information, Analysts, and Stock Return Comovement
inferredcites →https://doi.org/10.1109/tsp.2018.2887401openalex-extracted
Low Rank and Structured Modeling of High-Dimensional Vector Autoregressions
inferredcites →https://doi.org/10.1111/1475-679x.12007openalex-extracted
What Do Management Earnings Forecasts Convey About the Macroeconomy?
inferredcites →https://doi.org/10.1111/j.2517-6161.1996.tb02080.xopenalex-extracted
Regression Shrinkage and Selection Via the Lasso
inferredcites →https://doi.org/10.1111/joes.12429openalex-extracted
Machine learning advances for time series forecasting
inferredcites →https://doi.org/10.1111/rssc.12177openalex-extracted
A Network Analysis of the Volatility of High Dimensional Financial Series
inferredcites →https://doi.org/10.1198/016214501753382273openalex-extracted
Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
inferredcites →https://doi.org/10.1198/073500102753410444openalex-extracted
Comparing Predictive Accuracy
inferredcites →https://doi.org/10.1214/15-aos1315openalex-extracted
Regularized estimation in sparse high-dimensional time series models
inferredcites →https://doi.org/10.2139/ssrn.1569198openalex-extracted
Information, Analysts, and Stock Return Comovement
inferredcites →https://doi.org/10.2139/ssrn.1937613openalex-extracted
On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms
inferredcites →https://doi.org/10.2139/ssrn.2073319openalex-extracted
Oracle Inequalities for High Dimensional Vector Autoregressions
inferredcites →https://doi.org/10.2139/ssrn.2316285openalex-extracted
On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms
inferredcites →https://doi.org/10.2139/ssrn.4071212openalex-extracted
Influencers, Inefficiency and Fraud – The Bitcoin Price Discovery Network Under the Microscope
inferredcites →https://doi.org/10.2139/ssrn.4230241openalex-extracted
inferredcites →https://doi.org/10.2307/1912557openalex-extracted
Likelihood Ratio Tests for Model Selection and Non-Nested Hypotheses
inferredcites →https://doi.org/10.3386/w31772openalex-extracted
Contagion Effects of the Silicon Valley Bank Run
inferredcites →https://doi.org/10.48550/arxiv.1106.3915openalex-extracted
inferredcites →https://doi.org/10.48550/arxiv.1412.5250openalex-extracted
High Dimensional Forecasting via Interpretable Vector Autoregression
inferredcites →https://doi.org/10.1016/j.jempfin.2024.101529openalex-snapshot
Influencer detection meets network autoregression — Influential regions in the bitcoin blockchain
inferredcites →https://doi.org/10.18452/4336openalex-snapshot
Large Vector Auto Regressions

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inferred← citeshttps://doi.org/10.32614/cran.package.netvaropenalex-snapshot
NetVAR: Network Structures in VAR Models
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