jostfi
Department of Finance
- Center for Statistics
Jonas
Striaukas
Adjunkt
Kontor:
SOL/A4.27
E-mail:
jost.fi@cbs.dk
546272
Primære forskningsområder
(Mixed frequency data) econometrics, (robust) statistical learning methods
Links
Link til denne hjemmeside
www.cbs.dk/staff/jostfi
Andre undervisningsaktiviteter
Udvalgte publikationer
Babii A., Ball R., Ghysels, E., Striaukas, J. (2022+) "Machine learning panel data regressions with heavy-tailed dependent data: theory and application", forthcoming at Journal of Econometrics
Babii A., Ball R., Ghysels, E., Striaukas, J.(2022) Machine learning time series regressions with an application to nowcasting, Journal of Business & Economic Statistics, 40, 1094–1106.
Publikationer sorteret efter:
2024
Andrii Babii; Eric Ghysels; Jonas Striaukas / High-Dimensional Granger Causality Tests with an Application to VIX and News
I: Journal of Financial Econometrics, Vol. 22, Nr. 3, 2024, s. 605-635
I: Journal of Financial Econometrics, Vol. 22, Nr. 3, 2024, s. 605-635
Tidsskriftartikel > peer review
Andrii Babii; Ryan T. Ball; Eric Ghysels; Jonas Striaukas / Panel Data Nowcasting : The Case of Price–earnings Ratios.
I: Journal of Applied Econometrics, Vol. 39, Nr. 2, 3.2024, s. 292-307
I: Journal of Applied Econometrics, Vol. 39, Nr. 2, 3.2024, s. 292-307
Tidsskriftartikel > peer review
Jad Beyhum; Jonas Striaukas / Testing for Sparse Idiosyncratic Components in Factor-augmented Regression Models
I: Journal of Econometrics, Vol. 244, Nr. 1, 8.2024
I: Journal of Econometrics, Vol. 244, Nr. 1, 8.2024
Tidsskriftartikel > peer review
2023
Andrii Babii; Eric Ghysels; Jonas Striaukas / Econometrics of Machine Learning Methods in Economic Forecasting
: SSRN: Social Science Research Network 2023, 34 s. (Kenan Institute of Private Enterprise Research Paper)
: SSRN: Social Science Research Network 2023, 34 s. (Kenan Institute of Private Enterprise Research Paper)
Working paper
Andrii Babii; Ryan T. Ball; Eric Ghysels; Jonas Striaukas / Machine Learning Panel Data Regressions with Heavy-Tailed Dependent Data : Theory and Application.
I: Journal of Econometrics, Vol. 237, Nr. 2, 12.2023
I: Journal of Econometrics, Vol. 237, Nr. 2, 12.2023
Tidsskriftartikel > peer review
Matthias Weber; Jonas Striaukas; Martin Schumacher; Harald Binder / Regularized Regression When Covariates are Linkes on a Network : The 3CoSE Algortihm.
I: Journal of Applied Statistics, Vol. 50, Nr. 3, 2023, s. 535-554
I: Journal of Applied Statistics, Vol. 50, Nr. 3, 2023, s. 535-554
Tidsskriftartikel > peer review
2022
Jonas Striaukas / Estimation and Inference for High Dimensional Time Series Data Models
Louvain : Universite Catholique de Louvain 2022, 180 s.
Louvain : Universite Catholique de Louvain 2022, 180 s.
Ph.d.-afhandling
Andrii Babii; Eric Ghysels; Jonas Striaukas / Machine Learning Time Series Regressions With an Application to Nowcasting
I: Journal of Business and Economic Statistics, Vol. 40, Nr. 3, 2022, s. 1094-1106
I: Journal of Business and Economic Statistics, Vol. 40, Nr. 3, 2022, s. 1094-1106
Tidsskriftartikel > peer review
Bibeskæftigelse
-
15/06/2022 – 28/09/2022 — Trainee, National Bank of Belgium. Project title: “Machine Learning Based Nowcasting Model for National Bank of Belgium and Euro Area”, Belgium