Determination of vector error correction models in high dimensions
Year of publication: |
2019
|
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Authors: | Liang, Chong ; Schienle, Melanie |
Publisher: |
Karlsruhe : Karlsruher Institut für Technologie (KIT), Institut für Volkswirtschaftslehre (ECON) |
Subject: | High-dimensional time series | VECM | Cointegration rank and lag selection | Lasso | Credit Default Swap |
Series: | |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 10.5445/IR/1000092474 [DOI] 1047196697 [GVK] hdl:10419/191548 [Handle] RePEc:zbw:kitwps:124 [RePEc] |
Classification: | C32 - Time-Series Models ; C52 - Model Evaluation and Testing |
Source: |
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