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Time varying three pass regression filter

Marcellino, Massimiliano; Dendramis, Yiannis; … - 2023

Persistent link: https://www.econbiz.de/10014383819

Cornish-Fisher size corrected t and F statistics for the linear regression model with heteroscedastic errors

Symeonides, Spyridon D.; Kandilorou, Helen; Tzavalis, Elias - In: The refinement of econometric estimation and test …, (pp. 173-204). 2007

Persistent link: https://www.econbiz.de/10003461869

Risk premium effects on implied volatility regressions

Rompolis, Leonidas S.; Tzavalis, Elias - In: The journal of financial research 33 (2010) 2, pp. 125-151

Persistent link: https://www.econbiz.de/10003987976

Exploring Okun's law asymmetry : an endogenous threshold logistic smooth transition regression approach

Christopulos, Dēmētrēs K.; McAdam, Peter; Tzavalis, Elias - In: Oxford bulletin of economics and statistics 85 (2023) 1, pp. 123-158

Persistent link: https://www.econbiz.de/10014304355

A Regularization Approach for Estimation and Variable Selection in High Dimensional Regression

Dendramis, Yiannis - 2019

Model selection and estimation are important topics in econometric analysis which can become considerably complicated in high dimensional settings, where the set of possible regressors can become larger than the set of available observations. For large scale problems the penalized regression...

Persistent link: https://www.econbiz.de/10012893390