Ines Wilms

KU Leuven - Department of Applied Economics

Leuven, B-3000

BELGIUM

SCHOLARLY PAPERS

10

DOWNLOADS

455

SSRN CITATIONS

2

CROSSREF CITATIONS

0

Scholarly Papers (10)

1.

Lasso-Based Forecast Combinations for Forecasting Realized Variances

Number of pages: 24 Posted: 22 Nov 2016
KU Leuven - Department of Applied Economics, ESSEC Business School and KU Leuven - Faculty of Business and Economics (FEB)
Downloads 100 (294,541)

Abstract:

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Forecast combination, Hierarchical lasso, Lasso, Ordered Lasso, Realized variance, Volatility forecasting

2.

Robust Sparse Canonical Correlation Analysis

Number of pages: 18 Posted: 14 Jan 2015
Ines Wilms and Christophe Croux
KU Leuven - Department of Applied Economics and KU Leuven - Faculty of Business and Economics (FEB)
Downloads 73 (356,861)

Abstract:

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Canonical correlation analysis, penalized regression, robust regression, sparse Least Trimmed Squares

3.

Sparse Canonical Correlation Analysis from a Predictive Point of View

Number of pages: 26 Posted: 22 Jan 2014
Ines Wilms and Christophe Croux
KU Leuven - Department of Applied Economics and KU Leuven - Faculty of Business and Economics (FEB)
Downloads 67 (373,773)

Abstract:

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Canonical correlation analysis, Genomic data, Lasso, Multivariate regression, Sparsity

4.

Sparse Cointegration

Number of pages: 32 Posted: 26 Nov 2014
Ines Wilms and Christophe Croux
KU Leuven - Department of Applied Economics and KU Leuven - Faculty of Business and Economics (FEB)
Downloads 57 (405,400)
Citation 1

Abstract:

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Adaptive lasso, Penalized estimation, Reduced rank regression, Sparse estimation, Vector error correcting model

5.

Multi-Class Vector Autoregressive Models for Multi-Store Sales Data

KU Leuven, Faculty of Economics and Business, KBI_1617
Number of pages: 19 Posted: 21 May 2016
KU Leuven - Department of Applied Economics, KU Leuven - Department of Applied Economics and KU Leuven - Faculty of Business and Economics (FEB)
Downloads 36 (487,826)

Abstract:

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Fused Lasso, Multi-class estimation, Multi-store sales application, Sparse estimation, Vector AutoRegressive model

6.

Volatility Spillovers and Heavy Tails: A Large T-Vector Autoregressive Approach

KBI_1716
Number of pages: 27 Posted: 13 Nov 2017
KU Leuven - Department of Applied Economics, KU Leuven - Faculty of Business and Economics (FEB) and KU Leuven - Department of Applied Economics
Downloads 32 (507,212)

Abstract:

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Commodities, Forecasting, Multivariate t-distribution, Vector AutoRegressive model, Volatility spillover

7.

An Algorithm for the Multivariate Group Lasso with Covariance Estimation

Number of pages: 20 Posted: 08 Dec 2015
Ines Wilms and Christophe Croux
KU Leuven - Department of Applied Economics and KU Leuven - Faculty of Business and Economics (FEB)
Downloads 32 (507,212)

Abstract:

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Categorical variables, Group Lasso, Multivariate Regression, Penalized Maximum Likelihood, Sparsity, Time Series

8.

Commodity Dynamics: A Sparse Multi-Class Approach

Number of pages: 23 Posted: 27 Apr 2016
KU Leuven - Department of Applied Economics, KU Leuven - Department of Applied Economics and KU Leuven - Faculty of Business and Economics (FEB)
Downloads 30 (517,479)
Citation 1

Abstract:

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Commodity prices, Multi-class estimation, Vector AutoRegressive model

9.

The Predictive Power of the Business and Bank Sentiment of Firms: A High-Dimensional Granger Causality Approach

Number of pages: 26 Posted: 04 Sep 2015
Ines Wilms, Sarah Gelper and Christophe Croux
KU Leuven - Department of Applied Economics, KU Leuven - Faculty of Business and Economics (FEB) and KU Leuven - Faculty of Business and Economics (FEB)
Downloads 19 (584,391)

Abstract:

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Bootstrap; Granger Causality; Lasso; Sentiment surveys; Time series forecasting

10.

Cellwise Robust Regularized Discriminant Analysis

Number of pages: 24 Posted: 23 Jan 2017
Stéphanie Aerts and Ines Wilms
HEC-ULg University of Liège and KU Leuven - Department of Applied Economics
Downloads 9 (653,318)

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Cellwise robust precision matrix, Classification, Discriminant analysis, Penalized estimation