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 newspaper › Journal article › Research › peer-review
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 newspaper › Journal article › Research › peer-review
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 newspaper › Journal article › Research › peer-review
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 newspaper › Journal article › Research › peer-review
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 › Research
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 newspaper › Journal article › Research › peer-review
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 newspaper › Journal article › Research › peer-review
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 newspaper › Journal article › Research › peer-review
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 newspaper › Journal article › Research › peer-review
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 newspaper › Journal article › Research › peer-review
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 › Research
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 newspaper › Journal article › Communication
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 › Research
Asymptotically Honest Confidence Regions for High Dimensional. / Caner, Mehmet; Kock, Anders Bredahl.
Aarhus : Institut for Økonomi, Aarhus Universitet, 2014.Research output: Working paper › Research
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 newspaper › Journal article › Research › peer-review
Inference in High-dimensional Dynamic Panel Data Models. / Kock, Anders Bredahl; Tang, Haihan.
Aarhus : Institut for Økonomi, Aarhus Universitet, 2014.Research output: Working paper › Research
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/proceeding › Book chapter › Research › peer-review
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 › Research
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 › Research
Oracle inequalities for high-dimensional panel data models. / Kock, Anders Bredahl.
Aarhus : Institut for Økonomi, Aarhus Universitet, 2013.Research output: Working paper › Research
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 newspaper › Journal article › Research › peer-review
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 newspaper › Journal article › Research › peer-review
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 › Research
Oracle Inequalities for High Dimensional Vector Autoregressions. / Callot, Laurent; Kock, Anders Bredahl.
Aarhus : Institut for Økonomi, Aarhus Universitet, 2012.Research output: Working paper › Research
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 › Research