Determination of vector error correction models in high dimensions
type: Item
instance of: scholarly article
title: Determination of vector error correction models in high dimensions
zbMATH Open document ID: 1452.62941
author: Chong Liang
author: Melanie Schienle
published in: Journal of Econometrics
publication date: 2019-04-29T00:00:00Z
full work available at URL: https://publikationen.bibliothek.kit.edu/1000092474
Mathematics Subject Classification ID: 62P20
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 62J07
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 62-08
Mathematics Subject Classification ID: 91G20
zbMATH DE Number: 7048560
zbMATH Keywords: high-dimensional time series
zbMATH Keywords: VECM
zbMATH Keywords: cointegration rank and lag selection
zbMATH Keywords: Lasso
zbMATH Keywords: credit default swap
MaRDI profile type: Publication
OpenAlex ID: W2900300175
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DOI: 10.1016/J.JECONOM.2018.09.018
description: scientific article; zbMATH DE number 7048560