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De Mol, Christine's
Scholarly Papers
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Aggregate Statistics |
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Total
Downloads
419 |
Total
Citations
40 |
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1.
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Forecasting using a Large Number of Predictors: Is Bayesian Regression a Valid Alternative to Principal Components?
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De Mol, Christine
Free University of Brussels (VUB/ULB) - European Center for Advanced Research in Economics and Statistics (ECARES) Giannone, Domenico
Centre for Economic Policy Research (CEPR) Reichlin, Lucrezia
London Business School
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Posted:
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10 Nov 06
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Last Revised:
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14 Jan 07
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216
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31
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De Mol, Christine
Free University of Brussels (VUB/ULB) - European Center for Advanced Research in Economics and Statistics (ECARES) Giannone, Domenico
Centre for Economic Policy Research (CEPR) Reichlin, Lucrezia
London Business School
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192
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31
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Bayesian VAR, ridge regression, Lasso regression, principal components, large cross-sections
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De Mol, Christine
Free University of Brussels (VUB/ULB) - European Center for Advanced Research in Economics and Statistics (ECARES) Giannone, Domenico
Centre for Economic Policy Research (CEPR) Reichlin, Lucrezia
London Business School
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24
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31
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Bayesian VAR, ridge regressions, Lasso regression, principal components, large cross-sections
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2.
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Sparse and Stable Markowitz Portfolios
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Brodie, Joshua
Princeton University Daubechies, Ingrid
Princeton University - Department of Mathematics De Mol, Christine
Free University of Brussels (VUB/ULB) - European Center for Advanced Research in Economics and Statistics (ECARES) Giannone, Domenico
Centre for Economic Policy Research (CEPR)
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Posted:
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30 May 08
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Last Revised:
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05 Nov 08
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198
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9
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Brodie, Joshua
Princeton University Daubechies, Ingrid
Princeton University - Department of Mathematics De Mol, Christine
Free University of Brussels (VUB/ULB) - European Center for Advanced Research in Economics and Statistics (ECARES) Giannone, Domenico
Centre for Economic Policy Research (CEPR) Loris, Ignace
Free University of Brussels (VUB)
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193
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9
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Portfolio Choice, Sparse Portfolio, Penalized Regression
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Brodie, Joshua
Princeton University Daubechies, Ingrid
Princeton University - Department of Mathematics De Mol, Christine
Free University of Brussels (VUB/ULB) - European Center for Advanced Research in Economics and Statistics (ECARES) Giannone, Domenico
Centre for Economic Policy Research (CEPR)
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5
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9
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Penalized Regression, Portfolio Choice, Sparse Portfolio
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3.
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Conflitti, Cristina
affiliation not provided to SSRN De Mol, Christine
Free University of Brussels (VUB/ULB) - European Center for Advanced Research in Economics and Statistics (ECARES) Giannone, Domenico
Centre for Economic Policy Research (CEPR)
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5
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forecast combination, forecast evaluation, high-dimensional data, real-time data, shrinkage, Survey of Professional Forecasters
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