Department of Economics and Business Economics

Anders Bredahl Kock

  1. 2018
  2. Published

    Asymptotically honest confidence regions for high dimensional parameters by the desparsified conservative Lasso. / Caner, Mehmet; Kock, Anders Bredahl.

    In: Journal of Econometrics, Vol. 203, No. 1, 2018, p. 143-168.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal article

  3. 2017
  4. Published

    Modeling and Forecasting Large Realized Covariance Matrices and Portfolio Choice. / Callot, Laurent; Kock, Anders Bredahl; Medeiros, Marcelo.

    In: Journal of Applied Econometrics, Vol. 32, No. 1, 2017, p. 140-158.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal article

  5. Accepted/In press

    Sharp threshold detection based on sup-norm error rates in high-dimensional models. / Callot, Laurent; Caner, Mehmet; Kock, Anders Bredahl; Riquelme, Juan Andres.

    In: Journal of Business and Economic Statistics, 2017.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal article

  6. 2016
  7. Published

    Oracle inequalities, variable selection and uniform inference in high-dimensional correlated random effects panel data models. / Kock, Anders Bredahl.

    In: Journal of Econometrics, Vol. 195, No. 1, 11.2016, p. 71-85.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal article

  8. Published

    Inference in partially identified models with many moment inequalities using Lasso. / Bugni, Federico A.; Caner, Mehmet; Kock, Anders Bredahl; Lahiri, Soumendra.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2016.

    Research output: Working paper

  9. Published

    Consistent and Conservative Model Selection with the Adaptive LASSO in Stationary and Nonstationary Autoregressions. / Kock, Anders Bredahl.

    In: Econometric Theory, Vol. 32, No. 1, 2016, p. 243-259.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal article

  10. Published

    Forecasting macroeconomic variables using neural network models and three automated model selection techniques. / Kock, Anders Bredahl; Teräsvirta, Timo.

    In: Econometric Reviews, Vol. 35, No. 8-10, 2016, p. 1753-1779.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal article

  11. Published

    Lassoing the Determinants of Retirement. / Kallestrup-Lamb, Malene; Kock, Anders Bredahl; Kristensen, Johannes Tang.

    In: Econometric Reviews, Vol. 35, No. 8-10, 2016, p. 1522-1561.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal article

  12. Published

    Oracle Inequalities for Convex Loss Functions with Non-Linear Targets. / Caner, Mehmet; Kock, Anders Bredahl.

    In: Econometric Reviews, Vol. 35, No. 8-10, 2016, p. 1377-1411.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal article

  13. 2015
  14. Published

    Oracle Inequalities for High-Dimensional Vector Autoregressions. / Kock, Anders Bredahl; Callot, Laurent.

    In: Journal of Econometrics, Vol. 186, No. 2, 06.2015, p. 325–344.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal article

  15. Published

    Sharp Threshold Detection Based on Sup-norm Error rates in High-dimensional Models. / Callot, Laurent; Caner, Mehmet; Kock, Anders Bredahl; Riquelme, Juan Andres.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2015.

    Research output: Working paper

  16. Accepted/In press

    Review of "Stationary Stochastic Processes for Scientists and Engineers". / Kock, Anders Bredahl.

    In: American Statistician, 2015.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal article

  17. 2014
  18. Published

    Estimation and Forecasting of Large Realized Covariance Matrices and Portfolio Choice. / Callot, Laurent; Kock, Anders Bredahl; Medeiros, Marcelo C.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2014.

    Research output: Working paper

  19. Published

    Asymptotically Honest Confidence Regions for High Dimensional. / Caner, Mehmet; Kock, Anders Bredahl.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2014.

    Research output: Working paper

  20. Published

    Forecasting performances of three automated modelling techniques during the economic crisis 2007-2009. / Kock, Anders Bredahl; Teräsvirta, Timo.

    In: International Journal of Forecasting, Vol. 30, 2014, p. 616-631.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal article

  21. Published

    Inference in High-dimensional Dynamic Panel Data Models. / Kock, Anders Bredahl; Tang, Haihan.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2014.

    Research output: Working paper

  22. Published

    Oracle Efficient Estimation and Forecasting With the Adaptive Lasso and the Adaptive Group Lasso in Vector Autoregressions. / Kock, Anders Bredahl; Callot, Laurent.

    Essays in Nonlinear Time Series Econometrics. ed. / Niels Haldrup; Mika Meitz; Pentti Saikkonen. Oxford : Oxford University Press, 2014. p. 238-266.

    Research output: Contribution to book/anthology/report/proceedingBook chapter

  23. 2013
  24. Published

    Oracle Inequalities for Convex Loss Functions with Non-Linear Targets. / Caner, Mehmet; Kock, Anders Bredahl.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2013.

    Research output: Working paper

  25. Published

    Lassoing the Determinants of Retirement. / Kallestrup-Lamb, Malene; Kock, Anders Bredahl; Kristensen, Johannes Tang.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2013.

    Research output: Working paper

  26. Published

    Oracle inequalities for high-dimensional panel data models. / Kock, Anders Bredahl.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2013.

    Research output: Working paper

  27. Published

    Forecasting the Finnish Consumer Price Inflation Using Artificial Neural Network Models and Three Automated Model Selection Techniques. / Kock, Anders Bredahl; Teräsvirta, Timo.

    In: Finnish Economic Papers, Vol. 26, No. 1, 2013, p. 13-24.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal article

  28. Published

    Oracle Efficient Variable Selection in Random and Fixed Effects Panel Data Models. / Kock, Anders Bredahl.

    In: Econometric Theory, Vol. 29, No. 1, 2013, p. 115-152.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal article

  29. 2012
  30. Published

    Oracle Efficient Estimation and Forecasting with the Adaptive LASSO and the Adaptive Group LASSO in Vector Autoregressions. / Kock, Anders Bredahl; Callot, Laurent.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2012.

    Research output: Working paper

  31. Published

    Oracle Inequalities for High Dimensional Vector Autoregressions. / Callot, Laurent; Kock, Anders Bredahl.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2012.

    Research output: Working paper

  32. Published

    On the Oracle Property of the Adaptive LASSO in Stationary and Nonstationary Autoregressions. / Kock, Anders Bredahl.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2012.

    Research output: Working paper

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