Lenka Zbonakova

Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE)

Spandauer Strasse 1

Berlin, D-10178

Germany

SCHOLARLY PAPERS

2

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95

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0

CROSSREF CITATIONS

1

Scholarly Papers (2)

1.

Time Varying Quantile Lasso

SFB 649 Discussion Paper 2016-047
Number of pages: 26 Posted: 07 Nov 2016
Lenka Zbonakova, Wolfgang K. Härdle and Weining Wang
Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE), Humboldt University of Berlin - Institute for Statistics and Econometrics and Humboldt University of Berlin
Downloads 73 (337,909)
Citation 1

Abstract:

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lasso, quantile regression, systemic risk, high dimensions, penalization parameter

2.

Penalized Adaptive Method in Forecasting with Large Information Set and Structure Change

SFB 649 Discussion Paper 2017-023
Number of pages: 20 Posted: 14 Dec 2017
Xinjue Li, Lenka Zbonakova and Wolfgang K. Härdle
Xiamen University - Wang Yanan Institute for Studies in Economics (WISE), Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE) and Humboldt University of Berlin - Institute for Statistics and Econometrics
Downloads 22 (535,621)

Abstract:

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SCAD penalty, propagation-separation, adaptive window choice, multiplier bootstrap, bond risk premia