Laurent Callot (@lcallot)
github

lcallot

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  • Stars
    star
    51
  • Global Rank 335,520 (Top 12 %)
  • Followers 36
  • Following 8
  • Registered almost 12 years ago
  • Most used languages
    R
         72.7 %
    Shell
         9.1 %
    HTML
         9.1 %
    TeX
         9.1 %
  • Location ๐Ÿ‡ฉ๐Ÿ‡ช Germany
  • Country Total Rank 16,417
  • Country Ranking
    R
         155
    TeX
         993
    Shell
         4,918
    HTML
         6,690

Top repositories

1

lassovar

Estimation and forecasting of VAR model with the Lasso
R
26
star
2

ptv-var

Replication material for 'Vector Autoregressions with Parsimoniously Time-Varying Parameters and an Application to Monetary Policy'.
R
6
star
3

LeeCarter

Replication material for: Deterministic and stochastic trends in the Lee-Carter mortality model
TeX
3
star
4

rcv-fc

Computation material for: 'Modeling and forecasting large realized covariance matrices and portfolio choice.'
R
3
star
5

lasso-macro-forecast

Replication material for 'Oracle Efficient estimation and Forecasting with the Adaptive Lasso and the Adaptive Group Lasso in Vector Autoregressions'.
Shell
3
star
6

nodewise_portfolio

Replication material for: "A Nodewise Regression Approach to Estimating Large Portfolios"
R
2
star
7

parsimonious

Estimation of parsimoniously time-varying parameter VARs
R
2
star
8

pcvar

A R package for estimation of Panels of Co-integrated VAR models.
R
2
star
9

ptv-fac

Replication material for 'Regularized Estimation of Structural Instability in Factor Models: The US Macroeconomy and the Great Moderation.'
R
2
star
10

lcallot.github.io

Laurent Callot's website
HTML
1
star
11

ttlas

Replication material for 'Sharp threshold detection based on sup-norm error rates in high-dimensional models'
R
1
star