Robust Maximum Likelihood Estimation of Sparse Vector Error Correction Model
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Cited by:
- Ziping Zhao & Rui Zhou & Zhongju Wang & Daniel P. Palomar, 2018. "Optimal Portfolio Design for Statistical Arbitrage in Finance," Papers 1803.02974, arXiv.org.
- Ziping Zhao & Daniel P. Palomar, 2018. "Sparse Reduced Rank Regression With Nonconvex Regularization," Papers 1803.07247, arXiv.org.
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This paper has been announced in the following NEP Reports:- NEP-ECM-2017-10-29 (Econometrics)
- NEP-ETS-2017-10-29 (Econometric Time Series)
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