Machine learning time series regressions with an application to nowcasting A Babii, E Ghysels, J Striaukas Journal of Business & Economic Statistics 40 (3), 1094-1106, 2022 | 172 | 2022 |
High-dimensional Granger causality tests with an application to VIX and news A Babii, E Ghysels, J Striaukas Journal of Financial Econometrics 22 (3), 605-635, 2024 | 37* | 2024 |
Quantile-based inflation risk models E Ghysels, L Iania, J Striaukas NBB Working Paper, 2018 | 35 | 2018 |
Machine learning panel data regressions with heavy-tailed dependent data: Theory and application A Babii, RT Ball, E Ghysels, J Striaukas Journal of Econometrics 237 (2), 105315, 2023 | 29* | 2023 |
Factor-augmented sparse MIDAS regressions with an application to nowcasting J Beyhum FEB Research Report Department of Economics, 2024 | 6* | 2024 |
Regularized regression when covariates are linked on a network: the 3CoSE algorithm M Weber, J Striaukas, M Schumacher, H Binder Journal of Applied Statistics 50 (3), 535-554, 2023 | 6* | 2023 |
Testing for sparse idiosyncratic components in factor-augmented regression models J Beyhum, J Striaukas Journal of Econometrics 244 (1), 105845, 2024 | 5* | 2024 |
Panel data nowcasting: The case of price–earnings ratios A Babii, RT Ball, E Ghysels, J Striaukas Journal of Applied Econometrics 39 (2), 292-307, 2024 | 5* | 2024 |
Econometrics of machine learning methods in economic forecasting A Babii, E Ghysels, J Striaukas Handbook of Research Methods and Applications in Macroeconomic Forecasting, 246, 2024 | 3 | 2024 |
Nowcasting and aggregation: Why small Euro area countries matter A Babii, L Barbaglia, E Ghysels, J Striaukas Available at SSRN 4902689, 2024 | 2 | 2024 |
Estimation and inference for high dimensional time series data models J Striaukas UCL-Université Catholique de Louvain, 2022 | | 2022 |