Ando, Tomohiro; Bai, Jushan Quantile co-movement in financial markets: a panel quantile model with unobserved heterogeneity. (English) Zbl 1437.62379 J. Am. Stat. Assoc. 115, No. 529, 266-279 (2020). MSC: 62P05 62F15 62-04 PDF BibTeX XML Cite \textit{T. Ando} and \textit{J. Bai}, J. Am. Stat. Assoc. 115, No. 529, 266--279 (2020; Zbl 1437.62379) Full Text: DOI
Ando, Tomohiro; Li, Ker-Chau A model-averaging approach for high-dimensional regression. (English) Zbl 1367.62209 J. Am. Stat. Assoc. 109, No. 505, 254-265 (2014). MSC: 62J05 62G08 62J07 PDF BibTeX XML Cite \textit{T. Ando} and \textit{K.-C. Li}, J. Am. Stat. Assoc. 109, No. 505, 254--265 (2014; Zbl 1367.62209) Full Text: DOI