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Big Time Series Analytics for Complex Economic Decisions

Publications

bootUR: An R Package for Bootstrap Unit Root Tests

Auteurs: Smeekes, Stephan; Wilms, Ines
Publié dans: 2020

Hierarchical regularizers for mixed-frequency vector autoregressions

Auteurs: Alain Hecq, Marie Ternes, Ines Wilms
Publié dans: arXiv, 2021

Lasso Inference for High-Dimensional Time Series

Auteurs: Adamek, Robert; Smeekes, Stephan; Wilms, Ines
Publié dans: 2020

Sparse identification and estimation of high-dimensional vector autoregressive moving averages

Auteurs: Ines Wilms, Sumanta Basu, Jacob Bien, David S. Matteson
Publié dans: arXiv, 2019

Volatility spillovers in commodity markets: A large t-vector autoregressive approach

Auteurs: Luca Barbaglia, Christophe Croux, Ines Wilms
Publié dans: Energy Economics, Issue 85, 2020, Page(s) 104555, ISSN 0140-9883
DOI: 10.1016/j.eneco.2019.104555

Multivariate volatility forecasts for stock market indices

Auteurs: Ines Wilms, Jeroen Rombouts, Christophe Croux
Publié dans: International Journal of Forecasting, Issue 37(2), 2021, Page(s) 484-499, ISSN 0169-2070
DOI: 10.1016/j.ijforecast.2020.06.012