Laurent Callot
Personal Details
First Name: | Laurent |
Middle Name: | A. F. |
Last Name: | Callot |
Suffix: | |
RePEc Short-ID: | pca622 |
| |
http://lcallot.github.io | |
Terminal Degree: | 2012 Center for Research in Econometric Analysis of Time Series (CREATES); Institut for Økonomi; Aarhus Universitet (from RePEc Genealogy) |
Affiliation
(80%) Afdeling Econometrie and Operations Research
School of Business and Economics
Vrije Universiteit Amsterdam
Amsterdam, Netherlandshttps://sbe.vu.nl/nl/afdelingen-en-instituten/econometrie-en-or-nieuw/
RePEc:edi:ectvunl (more details at EDIRC)
(10%) Center for Research in Econometric Analysis of Time Series (CREATES)
Institut for Økonomi
Aarhus Universitet
Aarhus, Denmarkhttp://www.creates.au.dk/
RePEc:edi:creaudk (more details at EDIRC)
(10%) Tinbergen Instituut
Amsterdam, Netherlandshttp://www.tinbergen.nl/
RePEc:edi:tinbenl (more details at EDIRC)
Research output
Jump to: Working papers Articles ChaptersWorking papers
- Laurent Callot & Mehmet Caner & Anders Bredahl Kock & Juan Andres Riquelme, 2015.
"Sharp Threshold Detection Based on Sup-norm Error rates in High-dimensional Models,"
CREATES Research Papers
2015-10, Department of Economics and Business Economics, Aarhus University.
- Laurent Callot & Mehmet Caner & Anders Bredahl Kock & Juan Andres Riquelme, 2017. "Sharp Threshold Detection Based on Sup-Norm Error Rates in High-Dimensional Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 35(2), pages 250-264, April.
- Laurent Callot & Mehmet Caner & Anders Bredahl Kock & Juan Andres Riquelme, 2015. "Sharp Threshold Detection based on Sup-Norm Error Rates in High-dimensional Models," Tinbergen Institute Discussion Papers 15-019/III, Tinbergen Institute.
- Laurent Callot & Johannes Tang Kristensen, 2015.
"Regularized Estimation of Structural Instability in Factor Models: The US Macroeconomy and the Great Moderation,"
Tinbergen Institute Discussion Papers
15-069/III, Tinbergen Institute.
- Laurent Callot & Johannes Tang Kristensen, 2016. "Regularized Estimation of Structural Instability in Factor Models: The US Macroeconomy and the Great Moderation," Advances in Econometrics, in: Dynamic Factor Models, volume 35, pages 437-479, Emerald Group Publishing Limited.
- Laurent Callot & Johannes Tang Kristensen, 2015. "Regularized Estimation of Structural Instability in Factor Models: The US Macroeconomy and the Great Moderation," CREATES Research Papers 2015-29, Department of Economics and Business Economics, Aarhus University.
- Laurent Callot & Johannes Tang Kristensen, 2014.
"Vector Autoregressions with Parsimoniously Time Varying Parameters and an Application to Monetary Policy,"
CREATES Research Papers
2014-41, Department of Economics and Business Economics, Aarhus University.
- Laurent Callot & Johannes Tang Kristensen, 2014. "Vector Autoregressions with parsimoniously Time Varying Parameters and an Application to Monetary Policy," Tinbergen Institute Discussion Papers 14-145/III, Tinbergen Institute, revised 09 Apr 2015.
- Laurent Callot & Niels Haldrup & Malene Kallestrup Lamb, 2014.
"Deterministic and stochastic trends in the Lee-Carter mortality model,"
CREATES Research Papers
2014-44, Department of Economics and Business Economics, Aarhus University.
- Laurent Callot & Niels Haldrup & Malene Kallestrup-Lamb, 2016. "Deterministic and stochastic trends in the Lee–Carter mortality model," Applied Economics Letters, Taylor & Francis Journals, vol. 23(7), pages 486-493, May.
- Laurent A. F. Callot & Anders B. Kock & Marcelo C. Medeiros, 2014.
"Estimation and Forecasting of Large Realized Covariance Matrices and Portfolio Choice,"
CREATES Research Papers
2014-42, Department of Economics and Business Economics, Aarhus University.
- Laurent Callot & Anders B. Kock & Marcelo C. Medeiros, 2014. "Estimation and Forecasting of Large Realized Covariance Matrices and Portfolio Choice," Tinbergen Institute Discussion Papers 14-147/III, Tinbergen Institute.
- Anders Bredahl Kock & Laurent A.F. Callot, 2012.
"Oracle Inequalities for High Dimensional Vector Autoregressions,"
CREATES Research Papers
2012-16, Department of Economics and Business Economics, Aarhus University.
- Kock, Anders Bredahl & Callot, Laurent, 2015. "Oracle inequalities for high dimensional vector autoregressions," Journal of Econometrics, Elsevier, vol. 186(2), pages 325-344.
- Anders Bredahl Kock & Laurent A.F. Callot, 2012. "Oracle Efficient Estimation and Forecasting with the Adaptive LASSO and the Adaptive Group LASSO in Vector Autoregressions," CREATES Research Papers 2012-38, Department of Economics and Business Economics, Aarhus University.
- Martin Paldam & Laurent Callot, 2010. "Natural funnel asymmetries. A simulation analysis of the three basic tools of meta analysis," Economics Working Papers 2010-01, Department of Economics and Business Economics, Aarhus University.
- Laurent A.F. Callot, 2010. "A Bootstrap Cointegration Rank Test for Panels of VAR Models," CREATES Research Papers 2010-75, Department of Economics and Business Economics, Aarhus University.
Articles
- Laurent Callot & Mehmet Caner & Anders Bredahl Kock & Juan Andres Riquelme, 2017.
"Sharp Threshold Detection Based on Sup-Norm Error Rates in High-Dimensional Models,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 35(2), pages 250-264, April.
- Laurent Callot & Mehmet Caner & Anders Bredahl Kock & Juan Andres Riquelme, 2015. "Sharp Threshold Detection Based on Sup-norm Error rates in High-dimensional Models," CREATES Research Papers 2015-10, Department of Economics and Business Economics, Aarhus University.
- Laurent Callot & Mehmet Caner & Anders Bredahl Kock & Juan Andres Riquelme, 2015. "Sharp Threshold Detection based on Sup-Norm Error Rates in High-dimensional Models," Tinbergen Institute Discussion Papers 15-019/III, Tinbergen Institute.
- Laurent A. F. Callot & Anders B. Kock & Marcelo C. Medeiros, 2017. "Modeling and Forecasting Large Realized Covariance Matrices and Portfolio Choice," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 32(1), pages 140-158, January.
- Laurent Callot & Niels Haldrup & Malene Kallestrup-Lamb, 2016.
"Deterministic and stochastic trends in the Lee–Carter mortality model,"
Applied Economics Letters, Taylor & Francis Journals, vol. 23(7), pages 486-493, May.
- Laurent Callot & Niels Haldrup & Malene Kallestrup Lamb, 2014. "Deterministic and stochastic trends in the Lee-Carter mortality model," CREATES Research Papers 2014-44, Department of Economics and Business Economics, Aarhus University.
- Kock, Anders Bredahl & Callot, Laurent, 2015.
"Oracle inequalities for high dimensional vector autoregressions,"
Journal of Econometrics, Elsevier, vol. 186(2), pages 325-344.
- Anders Bredahl Kock & Laurent A.F. Callot, 2012. "Oracle Inequalities for High Dimensional Vector Autoregressions," CREATES Research Papers 2012-16, Department of Economics and Business Economics, Aarhus University.
Chapters
- Laurent Callot & Johannes Tang Kristensen, 2016.
"Regularized Estimation of Structural Instability in Factor Models: The US Macroeconomy and the Great Moderation,"
Advances in Econometrics, in: Dynamic Factor Models, volume 35, pages 437-479,
Emerald Group Publishing Limited.
- Laurent Callot & Johannes Tang Kristensen, 2015. "Regularized Estimation of Structural Instability in Factor Models: The US Macroeconomy and the Great Moderation," CREATES Research Papers 2015-29, Department of Economics and Business Economics, Aarhus University.
- Laurent Callot & Johannes Tang Kristensen, 2015. "Regularized Estimation of Structural Instability in Factor Models: The US Macroeconomy and the Great Moderation," Tinbergen Institute Discussion Papers 15-069/III, Tinbergen Institute.
More information
Research fields, statistics, top rankings, if available.Statistics
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Co-authorship network on CollEc
NEP Fields
NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 11 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.- NEP-ECM: Econometrics (9) 2010-01-23 2010-12-11 2012-05-15 2014-12-08 2014-12-08 2015-01-03 2015-04-25 2015-04-25 2015-06-13. Author is listed
- NEP-ETS: Econometric Time Series (5) 2010-12-11 2012-05-15 2014-12-08 2014-12-13 2015-04-25. Author is listed
- NEP-MAC: Macroeconomics (5) 2014-12-08 2014-12-13 2015-04-25 2015-06-13 2015-06-13. Author is listed
- NEP-FOR: Forecasting (4) 2014-12-03 2014-12-08 2015-01-03 2015-04-25
- NEP-MON: Monetary Economics (3) 2014-12-08 2014-12-13 2015-04-25
- NEP-AGE: Economics of Ageing (2) 2014-12-03 2015-01-03
- NEP-ORE: Operations Research (2) 2014-12-03 2015-01-03
- NEP-HEA: Health Economics (1) 2014-12-03
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