Statistical Estimation for Covariance Structures with Tail Estimates using Nodewise Quantile Predictive Regression Models
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Cited by:
- Christis Katsouris, 2023. "Estimating Conditional Value-at-Risk with Nonstationary Quantile Predictive Regression Models," Papers 2311.08218, arXiv.org, revised Apr 2024.
- Christis Katsouris, 2024. "Robust Estimation in Network Vector Autoregression with Nonstationary Regressors," Papers 2401.04050, arXiv.org.
- Christis Katsouris, 2023. "Optimal Estimation Methodologies for Panel Data Regression Models," Papers 2311.03471, arXiv.org, revised Nov 2023.
- Christis Katsouris, 2023. "Quantile Time Series Regression Models Revisited," Papers 2308.06617, arXiv.org, revised Aug 2023.
- Christis Katsouris, 2023. "High Dimensional Time Series Regression Models: Applications to Statistical Learning Methods," Papers 2308.16192, arXiv.org.
- Christis Katsouris, 2023. "Limit Theory under Network Dependence and Nonstationarity," Papers 2308.01418, arXiv.org, revised Aug 2023.
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This paper has been announced in the following NEP Reports:- NEP-ECM-2023-06-19 (Econometrics)
- NEP-ETS-2023-06-19 (Econometric Time Series)
- NEP-MAC-2023-06-19 (Macroeconomics)
- NEP-RMG-2023-06-19 (Risk Management)
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