Non-stationary variable selection in time-varying extreme Value regression

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Poster (Scientific congresses and symposiums)

Hambuckers, Julien; Sun, Li; Trapin, Luca

2022 • Workshop on Dimensionality Reduction and Inference in High-Dimensional Time Series

Editorial reviewed

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https://hdl.handle.net/2268/292794

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Disciplines :

Quantitative methods in economics & management

Author, co-author :

Hambuckers, Julien ; Université de Liège - ULiège > HEC Recherche > HEC Recherche: Financial Management for the Future

Sun, Li ; Université de Liège - ULiège > HEC Recherche > HEC Recherche: Financial Management for the Future

Trapin, Luca; University of Bologna

Language :

English

Title :

Non-stationary variable selection in time-varying extreme Value regression

Publication date :

2022

Event name :

Workshop on Dimensionality Reduction and Inference in High-Dimensional Time Series

Event organizer :

Maastricht University

Event date :

13/06/2022-14/06/2022

By request :

Yes

Audience :

International

Peer reviewed :

Editorial reviewed

Available on ORBi :

since 30 June 2022

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