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We use lasso methods to shrink, select and estimate the network linking the publicly-traded subset of the world's top …
Persistent link: https://www.econbiz.de/10011440136
We apply the Diebold-Yilmaz connectedness index methodology on sovereign credit default swaps (SCDSs) to estimate the network structure of global sovereign credit risk. In particular, using the elastic net estimation method, we separately estimate networks of daily SCDS returns and volatilities...
Persistent link: https://www.econbiz.de/10011440137
coefficients, and the number of breaks and their locations by applying a version of the Lasso approach. We show that with …
Persistent link: https://www.econbiz.de/10013208906
We use the LASSO estimator to select among a large number of explanatory variables in wage regressions for a … decomposition of the gender wage gap. The LASSO selection with a one standard error rule removes about a quarter of the regressors …. We use the LASSO-selected regressors for OLSbased gender wage decompositions. This approach results in a smaller error …
Persistent link: https://www.econbiz.de/10012662685
limited liability companies for the period 2010-2021. We use logistic Lasso regressions to select bankruptcy predictors from a …
Persistent link: https://www.econbiz.de/10014551720
The Hodrick-Prescott filter is a popular tool in macroeconomics for decomposing a time series into a smooth trend and a business cycle component. The last few years have witnessed global events, such as the Global Financial Crisis, the COVID-19 pandemic, and the war in Ukraine, that have had...
Persistent link: https://www.econbiz.de/10014581212