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Melanie SCHIENLE (karlsruhe institute of technology (KIT)) “Consistent model determination of ultra-high dimensional cointegrated time series”
The Financial Econometrics Seminar: Time: 11:00 pm Date: 03th of March 2022 Room 3001 + Zoom Melanie SCHIENLE (karlsruhe institute of technology (KIT)) "Consistent model determination of ultra-high dimensional cointegrated time series" Abstract : This paper proposes a method for model determination in ultra-high dimensional cointegrated systems where the cross-section dimension $m$ can even largely […]
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