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[期刊论文] 作者：Claudio Morana,
来源：统计学期刊(英文) 年份：2012
In this paper PC-VAR estimation of vector autoregressive models (VAR) is proposed. The estimation strategy successfully lessens the curse of dimensionality affe...
[期刊论文] 作者：Claudio Morana,
来源：统计学期刊(英文) 年份：2015
The paper introduces a new Frequentist model averaging estimation procedure, based on a stacked OLS estimator across models, implementable on cross-sectional, p...
[期刊论文] 作者：Claudio Morana,
来源：统计学期刊(英文) 年份：2015
The paper introduces a new simple semiparametric estimator of the conditional variance-covariance and correlation matrix (SP-DCC). While sharing a similar seque...
Factor Vector Autoregressive Estimation of Heteroskedastic Persistent and Non Persistent Processes S
[期刊论文] 作者：Claudio Morana,
来源：统计学期刊(英文) 年份：2014
In the paper, a general framework for large scale modeling of macroeconomic and financial time series is introduced. The proposed approach is characterized by s...
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