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VARX-L: Structured regularization for large vector autoregressions with exogenous variables

Citations

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Cited by:

  1. Shih-Feng Huang & Hsin-Han Chiang & Yu-Jun Lin, 2021. "A network autoregressive model with GARCH effects and its applications," PLOS ONE, Public Library of Science, vol. 16(7), pages 1-18, July.
  2. Wu, Shan & Liu, Yilong & Song, Ziyu & Zhou, Yuqin & Guo, Wenjing, 2024. "Network structure, dynamic evolution and block characteristics of sovereign debt risk: The global evidence," Research in International Business and Finance, Elsevier, vol. 72(PA).
  3. Matteo Iacopini & Dominique Guégan, 2018. "Nonparametric Forecasting of Multivariate Probability Density Functions," Working Papers 2018:15, Department of Economics, University of Venice "Ca' Foscari".
  4. Fantazzini, Dean, 2020. "Short-term forecasting of the COVID-19 pandemic using Google Trends data: Evidence from 158 countries," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 59, pages 33-54.
  5. Balcilar, Mehmet & Ozdemir, Huseyin & Agan, Busra, 2022. "Effects of COVID-19 on cryptocurrency and emerging market connectedness: Empirical evidence from quantile, frequency, and lasso networks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 604(C).
  6. Tabak, Benjamin Miranda & Silva, Igor Bettanin Dalla Riva e & Silva, Thiago Christiano, 2022. "Analysis of connectivity between the world’s banking markets: The COVID-19 global pandemic shock," The Quarterly Review of Economics and Finance, Elsevier, vol. 84(C), pages 324-336.
  7. Chao Liang & Yi Zhang & Yaojie Zhang, 2022. "Forecasting the volatility of the German stock market: New evidence," Applied Economics, Taylor & Francis Journals, vol. 54(9), pages 1055-1070, February.
  8. Chao, Shih-Kang & Härdle, Wolfgang K. & Yuan, Ming, 2021. "Factorisable Multitask Quantile Regression," Econometric Theory, Cambridge University Press, vol. 37(4), pages 794-816, August.
  9. Chen, Ying & Koch, Thorsten & Zakiyeva, Nazgul & Zhu, Bangzhu, 2020. "Modeling and forecasting the dynamics of the natural gas transmission network in Germany with the demand and supply balance constraint," Applied Energy, Elsevier, vol. 278(C).
  10. Tomokaze Shiratori & Ken Kobayashi & Yuichi Takano, 2020. "Prediction of hierarchical time series using structured regularization and its application to artificial neural networks," PLOS ONE, Public Library of Science, vol. 15(11), pages 1-23, November.
  11. Carpio, Lucio Guido Tapia, 2019. "The effects of oil price volatility on ethanol, gasoline, and sugar price forecasts," Energy, Elsevier, vol. 181(C), pages 1012-1022.
  12. Jia, Yanyan & Fang, Yi & Jing, Zhongbo & Lin, Faqin, 2022. "Price connectedness and input–output linkages: Evidence from China," Economic Modelling, Elsevier, vol. 116(C).
  13. Walid Mansour & Hechem Ajmi & Karima Saci, 2022. "Regulatory policies in the global Islamic banking sector in the outbreak of COVID-19 pandemic," Journal of Banking Regulation, Palgrave Macmillan, vol. 23(3), pages 265-287, September.
  14. Bastianin, Andrea & Casoli, Chiara & Galeotti, Marzio, 2023. "The connectedness of Energy Transition Metals," Energy Economics, Elsevier, vol. 128(C).
  15. Nagayasu, Jun, 2021. "Causal and frequency analyses of purchasing power parity," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 71(C).
  16. Shi Chen & Wolfgang Karl Hardle & Brenda L'opez Cabrera, 2020. "Regularization Approach for Network Modeling of German Power Derivative Market," Papers 2009.09739, arXiv.org.
  17. Jian Yang & Zheng Li & Ziliang Yu, 2024. "Low‐ frequency versus high‐frequency housing price spillovers in China," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 64(4), pages 3713-3749, December.
  18. Nikita Fokin & Andrey Polbin, 2019. "Forecasting Russia's Key Macroeconomic Indicators with the VAR-LASSO Model," Russian Journal of Money and Finance, Bank of Russia, vol. 78(2), pages 67-93, June.
  19. Jonathan Adams & Philip Barrett, 2024. "Shocks to Inflation Expectations," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 54, October.
  20. Cipollini, Fabrizio & Gallo, Giampiero M., 2025. "Multiplicative Error Models: 20 years on," Econometrics and Statistics, Elsevier, vol. 33(C), pages 209-229.
  21. Cheng, Tingting & Liu, Junli & Yao, Wenying & Zhao, Albert Bo, 2022. "The impact of COVID-19 pandemic on the volatility connectedness network of global stock market," Pacific-Basin Finance Journal, Elsevier, vol. 71(C).
  22. Krüger, Jens & Ruths Sion, Sebastian, 2019. "Improving oil price forecasts by sparse VAR methods," Darmstadt Discussion Papers in Economics 237, Darmstadt University of Technology, Department of Law and Economics.
  23. Silva, Thiago Christiano & Wilhelm, Paulo Victor Berri & Tabak, Benjamin Miranda, 2023. "The effect of interconnectivity on stock returns during the Global Financial Crisis," The North American Journal of Economics and Finance, Elsevier, vol. 67(C).
  24. Wang, Gang-Jin & Wan, Li & Feng, Yusen & Xie, Chi & Uddin, Gazi Salah & Zhu, You, 2023. "Interconnected multilayer networks: Quantifying connectedness among global stock and foreign exchange markets," International Review of Financial Analysis, Elsevier, vol. 86(C).
  25. Avesani, Diego & Zanfei, Ariele & Di Marco, Nicola & Galletti, Andrea & Ravazzolo, Francesco & Righetti, Maurizio & Majone, Bruno, 2022. "Short-term hydropower optimization driven by innovative time-adapting econometric model," Applied Energy, Elsevier, vol. 310(C).
  26. Manuela Pedio, 2021. "Option-Implied Network Measures of Tail Contagion and Stock Return Predictability," BAFFI CAREFIN Working Papers 21154, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
  27. Yi, Shuyue & Xu, Zishuang & Wang, Gang-Jin, 2018. "Volatility connectedness in the cryptocurrency market: Is Bitcoin a dominant cryptocurrency?," International Review of Financial Analysis, Elsevier, vol. 60(C), pages 98-114.
  28. Wen, Tiange & Wang, Gang-Jin, 2020. "Volatility connectedness in global foreign exchange markets," Journal of Multinational Financial Management, Elsevier, vol. 54(C).
  29. Safikhani, Abolfazl & Kamga, Camille & Mudigonda, Sandeep & Faghih, Sabiheh Sadat & Moghimi, Bahman, 2020. "Spatio-temporal modeling of yellow taxi demands in New York City using generalized STAR models," International Journal of Forecasting, Elsevier, vol. 36(3), pages 1138-1148.
  30. Yoshiki Nakajima & Naoya Sueishi, 2022. "Forecasting the Japanese macroeconomy using high-dimensional data," The Japanese Economic Review, Springer, vol. 73(2), pages 299-324, April.
  31. Camehl, Annika, 2023. "Penalized estimation of panel vector autoregressive models: A panel LASSO approach," International Journal of Forecasting, Elsevier, vol. 39(3), pages 1185-1204.
  32. Gür Ali, Özden & Gürlek, Ragıp, 2020. "Automatic Interpretable Retail forecasting with promotional scenarios," International Journal of Forecasting, Elsevier, vol. 36(4), pages 1389-1406.
  33. Schnücker, A.M., 2019. "Penalized Estimation of Panel Vector Autoregressive Models," Econometric Institute Research Papers EI-2019-33, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  34. Dai, Zhifeng & Tang, Rui & Zhang, Xiaotong, 2023. "A new multilayer network for measuring interconnectedness among the energy firms," Energy Economics, Elsevier, vol. 124(C).
  35. Kexin Zhang & Simon Trimborn, 2024. "Influential assets in Large-Scale Vector AutoRegressive Models," Tinbergen Institute Discussion Papers 24-080/III, Tinbergen Institute.
  36. Semeyutin, Artur & Downing, Gareth, 2022. "Co-jumps in the U.S. interest rates and precious metals markets and their implications for investors," International Review of Financial Analysis, Elsevier, vol. 81(C).
  37. Wang, Gang-Jin & Chen, Yang-Yang & Si, Hui-Bin & Xie, Chi & Chevallier, Julien, 2021. "Multilayer information spillover networks analysis of China’s financial institutions based on variance decompositions," International Review of Economics & Finance, Elsevier, vol. 73(C), pages 325-347.
  38. Zhang-Hangjian Chen & Xiang Gao & Apicha Insuwan, 2023. "Dynamic information spillover between Chinese carbon and stock markets under extreme weather shocks," Palgrave Communications, Palgrave Macmillan, vol. 10(1), pages 1-12, December.
  39. Zachary F. Fisher & Younghoon Kim & Barbara L. Fredrickson & Vladas Pipiras, 2022. "Penalized Estimation and Forecasting of Multiple Subject Intensive Longitudinal Data," Psychometrika, Springer;The Psychometric Society, vol. 87(2), pages 1-29, June.
  40. Zhu, Bo & Deng, Yuanyue & Hu, Xin, 2023. "Global energy security: Do internal and external risk spillovers matter? A multilayer network method," Energy Economics, Elsevier, vol. 126(C).
  41. Foglia, Matteo & Di Tommaso, Caterina & Wang, Gang-Jin & Pacelli, Vincenzo, 2024. "Interconnectedness between stock and credit markets: The role of European G-SIBs in a multilayer perspective," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 91(C).
  42. Peña, Daniel & Smucler, Ezequiel & Yohai, Victor J., 2021. "Sparse estimation of dynamic principal components for forecasting high-dimensional time series," International Journal of Forecasting, Elsevier, vol. 37(4), pages 1498-1508.
  43. Christis Katsouris, 2024. "Robust Estimation in Network Vector Autoregression with Nonstationary Regressors," Papers 2401.04050, arXiv.org.
  44. Matthew Greenwood-Nimmo & Daan Steenkamp & Rossouw van Jaarsveld, 2021. "Risk and Return Spillovers in a Global Model of the Foreign Exchange Network," Working Papers 11014, South African Reserve Bank.
  45. Gonçalves, Carla & Bessa, Ricardo J. & Pinson, Pierre, 2021. "A critical overview of privacy-preserving approaches for collaborative forecasting," International Journal of Forecasting, Elsevier, vol. 37(1), pages 322-342.
  46. Dominique Guegan & Matteo Iacopini, 2018. "Nonparametric forecasting of multivariate probability density functions," Post-Print halshs-01821815, HAL.
  47. Dominique Guégan & Matteo Iacopini, 2018. "Nonparameteric forecasting of multivariate probability density functions," Documents de travail du Centre d'Economie de la Sorbonne 18012, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  48. Dominique Guegan & Matteo Iacopini, 2018. "Nonparametric forecasting of multivariate probability density functions," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01821815, HAL.
  49. Yuen, T.P. & Wong, H. & Yiu, K.F.C., 2018. "On constrained estimation of graphical time series models," Computational Statistics & Data Analysis, Elsevier, vol. 124(C), pages 27-52.
  50. Jiahe Lin & George Michailidis, 2019. "Regularized Estimation of High-dimensional Factor-Augmented Vector Autoregressive (FAVAR) Models," Papers 1912.04146, arXiv.org, revised May 2020.
  51. Manuela Pedio, 2021. "Option-Implied Network Measures of Tail Contagion and Stock Return Predictability," BAFFI CAREFIN Working Papers 21154, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
  52. Maiorova, Ksenia & Fokin, Nikita, 2020. "Наукастинг Темпов Роста Стоимостных Объемов Экспорта И Импорта По Товарным Группам [Nowcasting the growth rates of the export and import by commodity groups]," MPRA Paper 109557, University Library of Munich, Germany.
  53. Trimborn, Simon & Peng, Hanqiu & Chen, Ying, 2024. "Influencer detection meets network autoregression — Influential regions in the bitcoin blockchain," Journal of Empirical Finance, Elsevier, vol. 78(C).
  54. Emile Esmaili & Michael J. Puma & Francis Ludlow & Poul Holm & Eva Jobbova, 2024. "Warfare Ignited Price Contagion Dynamics in Early Modern Europe," Papers 2411.18978, arXiv.org, revised Dec 2024.
  55. Hamed Haselimashhadi & Veronica Vinciotti, 2018. "Penalised inference for lagged dependent regression in the presence of autocorrelated residuals," METRON, Springer;Sapienza Università di Roma, vol. 76(1), pages 49-68, April.
  56. Maki, Daiki, 2024. "Evaluation of volatility spillovers for asymmetric realized covariance," The North American Journal of Economics and Finance, Elsevier, vol. 73(C).
  57. Zhu, Ke & Liu, Hanzhong, 2022. "Confidence intervals for parameters in high-dimensional sparse vector autoregression," Computational Statistics & Data Analysis, Elsevier, vol. 168(C).
  58. Ramiro Losada & Ricardo Laborda, 2020. "La interconexión en las instituciones de inversión colectiva no alternativas y el riesgo sistémico," CNMV Documentos de Trabajo CNMV Documentos de Trabaj, CNMV- Comisión Nacional del Mercado de Valores - Departamento de Estudios y Estadísticas.
  59. Wang, Gang-Jin & Xiong, Lu & Zhu, You & Xie, Chi & Foglia, Matteo, 2022. "Multilayer network analysis of investor sentiment and stock returns," Research in International Business and Finance, Elsevier, vol. 62(C).
  60. Mendoza, Daniel E. & Ochoa-Sánchez, Ana & Samaniego, Esteban P., 2022. "Forecasting of a complex phenomenon using stochastic data-based techniques under non-conventional schemes: The SARS-CoV-2 virus spread case," Chaos, Solitons & Fractals, Elsevier, vol. 158(C).
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