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Laurent A. F. Callot

Personal Details

First Name:Laurent
Middle Name:A. F.
Last Name:Callot
Suffix:
RePEc Short-ID:pca622
http://lcallot.github.io
Terminal Degree:2012 Center for Research in Econometric Analysis of Time Series (CREATES); Institut for Økonomi; Aarhus Universitet (from RePEc Genealogy)

Affiliation

(80%) Afdeling Econometrie and Operations Research
School of Business and Economics
Vrije Universiteit Amsterdam

Amsterdam, Netherlands
https://sbe.vu.nl/nl/afdelingen-en-instituten/econometrie-en-or-nieuw/

: (020 59)86010
(020 59)86020
De Boelelaan 1105, 1081 HV Amsterdam
RePEc:edi:ectvunl (more details at EDIRC)

(10%) Center for Research in Econometric Analysis of Time Series (CREATES)
Institut for Økonomi
Aarhus Universitet

Aarhus, Denmark
http://www.creates.au.dk/

:

Building 1322, DK-8000 Aarhus C
RePEc:edi:creaudk (more details at EDIRC)

(10%) Tinbergen Instituut

Amsterdam, Netherlands
http://www.tinbergen.nl/

: +31 (0)20 598 4580

Gustav Mahlerplein 117, 1082 MS Amsterdam
RePEc:edi:tinbenl (more details at EDIRC)

Research output

as
Jump to: Working papers Articles Chapters

Working papers

  1. Laurent Callot & Johannes Tang Kristensen, 2015. "Regularized Estimation of Structural Instability in Factor Models: The US Macroeconomy and the Great Moderation," Tinbergen Institute Discussion Papers 15-069/III, Tinbergen Institute.
  2. Laurent Callot & Mehmet Caner & Anders Bredahl Kock & Juan Andres Riquelme, 2015. "Sharp Threshold Detection Based on Sup-norm Error rates in High-dimensional Models," CREATES Research Papers 2015-10, Department of Economics and Business Economics, Aarhus University.
  3. Laurent Callot & Johannes Tang Kristensen, 2014. "Vector Autoregressions with Parsimoniously Time Varying Parameters and an Application to Monetary Policy," CREATES Research Papers 2014-41, Department of Economics and Business Economics, Aarhus University.
  4. Laurent Callot & Niels Haldrup & Malene Kallestrup Lamb, 2014. "Deterministic and stochastic trends in the Lee-Carter mortality model," CREATES Research Papers 2014-44, Department of Economics and Business Economics, Aarhus University.
  5. Laurent A. F. Callot & Anders B. Kock & Marcelo C. Medeiros, 2014. "Estimation and Forecasting of Large Realized Covariance Matrices and Portfolio Choice," CREATES Research Papers 2014-42, Department of Economics and Business Economics, Aarhus University.
  6. Anders Bredahl Kock & Laurent A.F. Callot, 2012. "Oracle Inequalities for High Dimensional Vector Autoregressions," CREATES Research Papers 2012-16, Department of Economics and Business Economics, Aarhus University.
  7. Anders Bredahl Kock & Laurent A.F. Callot, 2012. "Oracle Efficient Estimation and Forecasting with the Adaptive LASSO and the Adaptive Group LASSO in Vector Autoregressions," CREATES Research Papers 2012-38, Department of Economics and Business Economics, Aarhus University.
  8. Martin Paldam & Laurent Callot, 2010. "Natural funnel asymmetries. A simulation analysis of the three basic tools of meta analysis," Economics Working Papers 2010-01, Department of Economics and Business Economics, Aarhus University.
  9. Laurent A.F. Callot, 2010. "A Bootstrap Cointegration Rank Test for Panels of VAR Models," CREATES Research Papers 2010-75, Department of Economics and Business Economics, Aarhus University.

Articles

  1. Laurent Callot & Mehmet Caner & Anders Bredahl Kock & Juan Andres Riquelme, 2017. "Sharp Threshold Detection Based on Sup-Norm Error Rates in High-Dimensional Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 35(2), pages 250-264, April.
  2. Laurent A. F. Callot & Anders B. Kock & Marcelo C. Medeiros, 2017. "Modeling and Forecasting Large Realized Covariance Matrices and Portfolio Choice," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 32(1), pages 140-158, January.
  3. Laurent Callot & Niels Haldrup & Malene Kallestrup-Lamb, 2016. "Deterministic and stochastic trends in the Lee–Carter mortality model," Applied Economics Letters, Taylor & Francis Journals, vol. 23(7), pages 486-493, May.
  4. Kock, Anders Bredahl & Callot, Laurent, 2015. "Oracle inequalities for high dimensional vector autoregressions," Journal of Econometrics, Elsevier, vol. 186(2), pages 325-344.

Chapters

  1. Laurent Callot & Johannes Tang Kristensen, 2016. "Regularized Estimation of Structural Instability in Factor Models: The US Macroeconomy and the Great Moderation," Advances in Econometrics,in: Dynamic Factor Models, volume 35, pages 437-479 Emerald Publishing Ltd.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Laurent Callot & Mehmet Caner & Anders Bredahl Kock & Juan Andres Riquelme, 2015. "Sharp Threshold Detection Based on Sup-norm Error rates in High-dimensional Models," CREATES Research Papers 2015-10, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. Sokbae Lee & Yuan Liao & Myung Hwan Seo & Youngki Shin, 2018. "Oracle Estimation of a Change Point in High-Dimensional Quantile Regression," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 113(523), pages 1184-1194, July.

  2. Laurent Callot & Johannes Tang Kristensen, 2014. "Vector Autoregressions with Parsimoniously Time Varying Parameters and an Application to Monetary Policy," CREATES Research Papers 2014-41, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. Laurent Callot & Johannes Tang Kristensen, 2016. "Regularized Estimation of Structural Instability in Factor Models: The US Macroeconomy and the Great Moderation," Advances in Econometrics,in: Dynamic Factor Models, volume 35, pages 437-479 Emerald Publishing Ltd.

  3. Laurent Callot & Niels Haldrup & Malene Kallestrup Lamb, 2014. "Deterministic and stochastic trends in the Lee-Carter mortality model," CREATES Research Papers 2014-44, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. Hans Oluf Hansen, 2015. "Modeling and projecting mortality. A new model of heterogeneity and selection in survivorship," Discussion Papers 15-16, University of Copenhagen. Department of Economics.
    2. Niels Haldrup & Carsten P. T. Rosenskjold, 2019. "A Parametric Factor Model of the Term Structure of Mortality," Econometrics, MDPI, Open Access Journal, vol. 7(1), pages 1-22, March.
    3. Niels Haldrup & Carsten P. T. Rosenskjold, 2018. "A Parametric Factor Model of the Term Structure of Mortality," CREATES Research Papers 2018-06, Department of Economics and Business Economics, Aarhus University.
    4. Hunt, Andrew & Villegas, Andrés M., 2015. "Robustness and convergence in the Lee–Carter model with cohort effects," Insurance: Mathematics and Economics, Elsevier, vol. 64(C), pages 186-202.

  4. Laurent A. F. Callot & Anders B. Kock & Marcelo C. Medeiros, 2014. "Estimation and Forecasting of Large Realized Covariance Matrices and Portfolio Choice," CREATES Research Papers 2014-42, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. Medeiros, Marcelo C. & Mendes, Eduardo F., 2016. "ℓ1-regularization of high-dimensional time-series models with non-Gaussian and heteroskedastic errors," Journal of Econometrics, Elsevier, vol. 191(1), pages 255-271.
    2. Marcelo C. Medeiros & Eduardo F. Mendes, 2015. "l1-Regularization of High-Dimensional Time-Series Models with Flexible Innovations," Textos para discussão 636, Department of Economics PUC-Rio (Brazil).

  5. Anders Bredahl Kock & Laurent A.F. Callot, 2012. "Oracle Inequalities for High Dimensional Vector Autoregressions," CREATES Research Papers 2012-16, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. Fengler, Matthias R. & Gisler, Katja I.M., 2015. "A variance spillover analysis without covariances: What do we miss?," Journal of International Money and Finance, Elsevier, vol. 51(C), pages 174-195.
    2. Liang, Chong & Schienle, Melanie, 2019. "Determination of vector error correction models in high dimensions," Working Paper Series in Economics 124, Karlsruhe Institute of Technology (KIT), Department of Economics and Business Engineering.
    3. Audrino, Francesco & Knaus, Simon, 2012. "Lassoing the HAR model: A Model Selection Perspective on Realized Volatility Dynamics," Economics Working Paper Series 1224, University of St. Gallen, School of Economics and Political Science.
    4. Laurent A. F. Callot & Anders B. Kock & Marcelo C. Medeiros, 2014. "Estimation and Forecasting of Large Realized Covariance Matrices and Portfolio Choice," CREATES Research Papers 2014-42, Department of Economics and Business Economics, Aarhus University.
    5. Matteo Barigozzi & Christian T. Brownlees, 2013. "Nets: Network estimation for time series," Economics Working Papers 1391, Department of Economics and Business, Universitat Pompeu Fabra.
    6. Francesco Audrino & Lorenzo Camponovo, 2013. "Oracle Properties and Finite Sample Inference of the Adaptive Lasso for Time Series Regression Models," Papers 1312.1473, arXiv.org.
    7. Alessi, Lucia & Balduzzi, Pierluigi & Savona, Roberto, 2019. "Anatomy of a Sovereign Debt Crisis: CDS Spreads and Real-Time Macroeconomic Data," Working Papers 2019-03, Joint Research Centre, European Commission (Ispra site).
    8. Smeekes, Stephan & Wijler, Etiënne, 2016. "Macroeconomic Forecasting Using Penalized Regression Methods," Research Memorandum 039, Maastricht University, Graduate School of Business and Economics (GSBE).
    9. Bicu A.C. & Lieb L.M., 2015. "Cross-border effects of fiscal policy in the Eurozone," Research Memorandum 019, Maastricht University, Graduate School of Business and Economics (GSBE).
    10. Medeiros, Marcelo C. & Mendes, Eduardo F., 2016. "ℓ1-regularization of high-dimensional time-series models with non-Gaussian and heteroskedastic errors," Journal of Econometrics, Elsevier, vol. 191(1), pages 255-271.
    11. Jorge A Chan-Lau, 2017. "Lasso Regressions and Forecasting Models in Applied Stress Testing," IMF Working Papers 17/108, International Monetary Fund.
    12. Audrino, Francesco & Camponovo, Lorenzo & Roth, Constantin, 2015. "Testing the lag structure of assets’ realized volatility dynamics," Economics Working Paper Series 1501, University of St. Gallen, School of Economics and Political Science.
    13. Laurent Callot & Johannes Tang Kristensen, 2014. "Vector Autoregressions with Parsimoniously Time Varying Parameters and an Application to Monetary Policy," CREATES Research Papers 2014-41, Department of Economics and Business Economics, Aarhus University.
    14. Nicholson, William B. & Matteson, David S. & Bien, Jacob, 2017. "VARX-L: Structured regularization for large vector autoregressions with exogenous variables," International Journal of Forecasting, Elsevier, vol. 33(3), pages 627-651.
    15. Barigozzi, Matteo & Hallin, Marc, 2017. "A network analysis of the volatility of high-dimensionalfinancial series," LSE Research Online Documents on Economics 67456, London School of Economics and Political Science, LSE Library.
    16. MArcelo C. Medeiros & Eduardo F.Mendes, 2012. "Estimating High-Dimensional Time Series Models," Textos para discussão 602, Department of Economics PUC-Rio (Brazil).
    17. Bent Jesper Christensen & Morten Ørregaard Nielsen & Jie Zhu, 2012. "The impact of financial crises on the risk-return tradeoff and the leverage effect," CREATES Research Papers 2012-19, Department of Economics and Business Economics, Aarhus University.
    18. Gianluca Cubadda & Barbara Guardabascio, 2017. "Representation, Estimation and Forecasting of the Multivariate Index-Augmented Autoregressive Model," CEIS Research Paper 397, Tor Vergata University, CEIS, revised 13 Jul 2018.
    19. Chernozhukov, V. & Härdle, W.K. & Huang, C. & Wang, W., 2018. "LASSO-Driven Inference in Time and Space," Working Papers 18/04, Department of Economics, City University London.
    20. Alain Hecq & Luca Margaritella & Stephan Smeekes, 2019. "Granger Causality Testing in High-Dimensional VARs: a Post-Double-Selection Procedure," Papers 1902.10991, arXiv.org, revised Oct 2019.
    21. Xu, Ning & Hong, Jian & Fisher, Timothy, 2016. "Model selection consistency from the perspective of generalization ability and VC theory with an application to Lasso," MPRA Paper 71670, University Library of Munich, Germany.
    22. Baek, Changryong & Davis, Richard A. & Pipiras, Vladas, 2017. "Sparse seasonal and periodic vector autoregressive modeling," Computational Statistics & Data Analysis, Elsevier, vol. 106(C), pages 103-126.
    23. Kascha, Christian & Trenkler, Carsten, 2015. "Forecasting VARs, model selection, and shrinkage," Working Papers 15-07, University of Mannheim, Department of Economics.
    24. Hendrik Kaufmann & Robinson Kruse & Philipp Sibbertsen, 2012. "On tests for linearity against STAR models with deterministic trends," CREATES Research Papers 2012-20, Department of Economics and Business Economics, Aarhus University.
    25. Marcelo C. Medeiros & Eduardo F. Mendes, 2017. "Adaptive LASSO estimation for ARDL models with GARCH innovations," Econometric Reviews, Taylor & Francis Journals, vol. 36(6-9), pages 622-637, October.
    26. Marcelo C. Medeiros & Eduardo F. Mendes, 2015. "l1-Regularization of High-Dimensional Time-Series Models with Flexible Innovations," Textos para discussão 636, Department of Economics PUC-Rio (Brazil).
    27. Matteo Barigozzi & Marc Hallin, 2015. "Networks, Dynamic Factors, and the Volatility Analysis of High-Dimensional Financial Series," Papers 1510.05118, arXiv.org, revised Jul 2016.
    28. Ji Hyung Lee & Zhentao Shi & Zhan Gao, 2018. "On LASSO for Predictive Regression," Papers 1810.03140, arXiv.org, revised Oct 2018.
    29. Anders Bredahl Kock & Laurent A.F. Callot, 2012. "Oracle Efficient Estimation and Forecasting with the Adaptive LASSO and the Adaptive Group LASSO in Vector Autoregressions," CREATES Research Papers 2012-38, Department of Economics and Business Economics, Aarhus University.
    30. Mehmet Caner & Anders Bredahl Kock, 2013. "Oracle Inequalities for Convex Loss Functions with Non-Linear Targets," CREATES Research Papers 2013-51, Department of Economics and Business Economics, Aarhus University.
    31. Roberto Casarin & Daniel Felix Ahelegbey & Monica Billio, 2014. "Sparse Graphical Vector Autoregression: A Bayesian Approach," Working Papers 2014:29, Department of Economics, University of Venice "Ca' Foscari".

  6. Anders Bredahl Kock & Laurent A.F. Callot, 2012. "Oracle Efficient Estimation and Forecasting with the Adaptive LASSO and the Adaptive Group LASSO in Vector Autoregressions," CREATES Research Papers 2012-38, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. Smeekes, Stephan & Wijler, Etiënne, 2016. "Macroeconomic Forecasting Using Penalized Regression Methods," Research Memorandum 039, Maastricht University, Graduate School of Business and Economics (GSBE).
    2. Audrino, Francesco & Camponovo, Lorenzo & Roth, Constantin, 2015. "Testing the lag structure of assets’ realized volatility dynamics," Economics Working Paper Series 1501, University of St. Gallen, School of Economics and Political Science.
    3. Matteo Mogliani, 2019. "Bayesian MIDAS penalized regressions: estimation, selection, and prediction," Working papers 713, Banque de France.
    4. Kascha, Christian & Trenkler, Carsten, 2015. "Forecasting VARs, model selection, and shrinkage," Working Papers 15-07, University of Mannheim, Department of Economics.

  7. Martin Paldam & Laurent Callot, 2010. "Natural funnel asymmetries. A simulation analysis of the three basic tools of meta analysis," Economics Working Papers 2010-01, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. Martin Paldam, 2013. "How do partly omitted control variables influence the averages used in meta-analysis in economics?," Economics Working Papers 2013-22, Department of Economics and Business Economics, Aarhus University.
    2. Paldam, Martin, 2015. "Meta-analysis in a nutshell: Techniques and general findings," Economics Discussion Papers 2015-3, Kiel Institute for the World Economy (IfW).
    3. Martin Paldam, 2016. "Simulating an empirical paper by the rational economist," Empirical Economics, Springer, vol. 50(4), pages 1383-1407, June.

  8. Laurent A.F. Callot, 2010. "A Bootstrap Cointegration Rank Test for Panels of VAR Models," CREATES Research Papers 2010-75, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. Antonia Arsova & Deniz Dilan Karaman Örsal, 2018. "Likelihood-based panel cointegration test in the presence of a linear time trend and cross-sectional dependence," Econometric Reviews, Taylor & Francis Journals, vol. 37(10), pages 1033-1050, November.

Articles

  1. Laurent Callot & Mehmet Caner & Anders Bredahl Kock & Juan Andres Riquelme, 2017. "Sharp Threshold Detection Based on Sup-Norm Error Rates in High-Dimensional Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 35(2), pages 250-264, April.
    See citations under working paper version above.
  2. Laurent A. F. Callot & Anders B. Kock & Marcelo C. Medeiros, 2017. "Modeling and Forecasting Large Realized Covariance Matrices and Portfolio Choice," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 32(1), pages 140-158, January.

    Cited by:

    1. Luca Barbaglia & Christophe Croux & Ines Wilms, 2017. "Volatility Spillovers and Heavy Tails: A Large t-Vector AutoRegressive Approach," Papers 1708.02073, arXiv.org.
    2. Xin Jin & John M. Maheu & Qiao Yang, 2019. "Bayesian parametric and semiparametric factor models for large realized covariance matrices," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 34(5), pages 641-660, August.
    3. Vasyl Golosnoy & Benno Hildebrandt & Steffen Köhler, 2019. "Modeling and Forecasting Realized Portfolio Diversification Benefits," Journal of Risk and Financial Management, MDPI, Open Access Journal, vol. 12(3), pages 1-16, July.
    4. Jian, Zhihong & Deng, Pingjun & Zhu, Zhican, 2018. "High-dimensional covariance forecasting based on principal component analysis of high-frequency data," Economic Modelling, Elsevier, vol. 75(C), pages 422-431.
    5. Jiayuan Zhou & Feiyu Jiang & Ke Zhu & Wai Keung Li, 2019. "Time series models for realized covariance matrices based on the matrix-F distribution," Papers 1903.12077, arXiv.org.

  3. Laurent Callot & Niels Haldrup & Malene Kallestrup-Lamb, 2016. "Deterministic and stochastic trends in the Lee–Carter mortality model," Applied Economics Letters, Taylor & Francis Journals, vol. 23(7), pages 486-493, May.
    See citations under working paper version above.
  4. Kock, Anders Bredahl & Callot, Laurent, 2015. "Oracle inequalities for high dimensional vector autoregressions," Journal of Econometrics, Elsevier, vol. 186(2), pages 325-344.
    See citations under working paper version above.

Chapters

    Sorry, no citations of chapters recorded.

More information

Research fields, statistics, top rankings, if available.

Statistics

Access and download statistics for all items

Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 11 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-ECM: Econometrics (9) 2010-01-23 2010-12-11 2012-05-15 2014-12-08 2014-12-08 2015-01-03 2015-04-25 2015-04-25 2015-06-13. Author is listed
  2. NEP-ETS: Econometric Time Series (5) 2010-12-11 2012-05-15 2014-12-08 2014-12-13 2015-04-25. Author is listed
  3. NEP-MAC: Macroeconomics (5) 2014-12-08 2014-12-13 2015-04-25 2015-06-13 2015-06-13. Author is listed
  4. NEP-FOR: Forecasting (4) 2014-12-03 2014-12-08 2015-01-03 2015-04-25. Author is listed
  5. NEP-AGE: Economics of Ageing (2) 2014-12-03 2015-01-03
  6. NEP-MON: Monetary Economics (2) 2014-12-08 2015-04-25
  7. NEP-ORE: Operations Research (2) 2014-12-03 2015-01-03
  8. NEP-HEA: Health Economics (1) 2014-12-03

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