Pinned Repositories
lasso-macro-forecast
Replication material for 'Oracle Efficient estimation and Forecasting with the Adaptive Lasso and the Adaptive Group Lasso in Vector Autoregressions'.
lassovar
Estimation and forecasting of VAR model with the Lasso
lcallot.github.io
Laurent Callot's website
LeeCarter
Replication material for: Deterministic and stochastic trends in the Lee-Carter mortality model
nodewise_portfolio
Replication material for: "A Nodewise Regression Approach to Estimating Large Portfolios"
parsimonious
Estimation of parsimoniously time-varying parameter VARs
pcvar
A R package for estimation of Panels of Co-integrated VAR models.
ptv-fac
Replication material for 'Regularized Estimation of Structural Instability in Factor Models: The US Macroeconomy and the Great Moderation.'
ptv-var
Replication material for 'Vector Autoregressions with Parsimoniously Time-Varying Parameters and an Application to Monetary Policy'.
rcv-fc
Computation material for: 'Modeling and forecasting large realized covariance matrices and portfolio choice.'
lcallot's Repositories
lcallot/lassovar
Estimation and forecasting of VAR model with the Lasso
lcallot/ptv-var
Replication material for 'Vector Autoregressions with Parsimoniously Time-Varying Parameters and an Application to Monetary Policy'.
lcallot/lasso-macro-forecast
Replication material for 'Oracle Efficient estimation and Forecasting with the Adaptive Lasso and the Adaptive Group Lasso in Vector Autoregressions'.
lcallot/LeeCarter
Replication material for: Deterministic and stochastic trends in the Lee-Carter mortality model
lcallot/rcv-fc
Computation material for: 'Modeling and forecasting large realized covariance matrices and portfolio choice.'
lcallot/nodewise_portfolio
Replication material for: "A Nodewise Regression Approach to Estimating Large Portfolios"
lcallot/parsimonious
Estimation of parsimoniously time-varying parameter VARs
lcallot/pcvar
A R package for estimation of Panels of Co-integrated VAR models.
lcallot/ptv-fac
Replication material for 'Regularized Estimation of Structural Instability in Factor Models: The US Macroeconomy and the Great Moderation.'
lcallot/lcallot.github.io
Laurent Callot's website
lcallot/ttlas
Replication material for 'Sharp threshold detection based on sup-norm error rates in high-dimensional models'
lcallot/Awesome-CV
:page_facing_up: Awesome CV is LaTeX template for your outstanding job application
lcallot/ez
eurozone
lcallot/i3-configs
My i3 configuration
lcallot/lcallot-test.github.io
testing for personal website
lcallot/livres
lcallot/macrods
A collection of macroeconomic datasets
lcallot/mxnet-the-straight-dope
An interactive book on deep learning. Much easy, so MXNet. Wow.
lcallot/ProjetEZ
lcallot/so-simple-theme
A simple and clean responsive Jekyll theme for words and photos.