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University of California, Davis - Graduate School of Management
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Generalized Extreme Distribution; Generalized Pareto Distribution; Hill Estimator; Pareto-type Distribution; Tail Index Regression
Bayesian Information Criterion, Minimal Variance Portfolio, Portfolio Selection, Risk Diversification
House money effect, market maker, derivatives, investor behavior
Advertising effectiveness, business cycles, EM algorithm, hidden Markov models, information criterion, Markov-switching regression
Forward Regression, Partially Linear Model, Profiled Forward Regression, Screening Consistency, Ultrahigh Dimensional Predictor
model selection, BIC, model averaging, model mixing, stock predictability, financial markets
Generalized Linear Model, High Dimensional Data, Hypotheses Testing, Paid Search Advertising, Partial Covariance, Partial F-Test
central subspace, central contour subspace, contour projection, directional regression, generalized contour subspace
Dimension reduction, Heteroscedasticity, Nonnormality, Single-index model
Autocorrelation, Heteroscedasticity, Local polynomial estimation, Model selection
Asymmetric Pair, Dyad Independence Model, Latent Space Model, Social Network, Stochastic Block Model
CART, Interaction, Subgroup Analysis, Random Forests
Goodness-of-fit, Kullback-Leibler discrepancy, Nonparametric regression, Smoothing spline regression estimator
Bias-Corrected Test; Covariance; Diagonality Test; High Dimensional Data; Multivariate Analysis
Autocorrelation function, Box-Jenkins method, Quantile correlation, Quantile partial correlation, Quantile autoregressive model
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AIC, BIC, Kullback-Leibler information, model selection, residual likelihood
Forward Regression, Sequential Model Averaging, Sequential Screening, Univariate Model Averaging
Correlated Predictors Screening; False Discovery Rate; High Dimensional Data; Single Coefficient Test
Adjacency Matrix; Bayesian Information Criterion; Covariance Estimation; Covariance Regression Network Model; High Dimensional Data
Covariance Regression; Covariance Matrix Estimation; Positive Definiteness; Portfolio Management
File name: JTSA.
Bootstrap, Brownian motion, least absolute deviation, unit root test
Contour-projection, dimension reduction, linearity condition, sliced average variance estimation, sliced inverse regression
aic, bic, Generalised crossvalidation, Least absolute shrinkage and selection operator, Smoothly clipped absolute deviation
ARX, Lasso, Oracle Estimator, REGAR
finite mixture model, LASSO, mixture penalty
Single-Index-Model, Market-Adapted Earnings
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