-
publication
We consider multiple regression (MR) model averaging using the Focused Informati on Criterion (FIC). Our approach is motivated by the problem of implementing a mean-variance...
-
publication
We develop a flexible modeling and estimation framework for a high-dimensional factor stochastic volatility (SV) model. Our specification allows for leverage effects, asymmetry...
-
publication
The objective of network module detection is to identify groups of nodes within a network structure that are tightly connected. Nodes in a network often have attributes (aka...