City Research Online - Single index based CoVaR with very high dimensional covariates

Single index based CoVaR with very high dimensional covariates

Wang, W., Fan, Y., Härdle, W.K. & Zhu, L. (2016). Single index based CoVaR with very high dimensional covariates. Journal of Business & Economic Statistics, 36(2), pp. 212-226. doi: 10.1080/07350015.2016.1180990

Publication Type:	Article
Additional Information:	This is an Accepted Manuscript of an article published by Taylor & Francis in Journal of Business & Economic Statistics on 27th April 2016, available online: http://www.tandfonline.com/10.1080/07350015.2016.1180990
Subjects:	H Social Sciences > HB Economic Theory
Departments:	School of Policy & Global Affairs > Economics
SWORD Depositor:	Symplectic Administrator

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Creators:	Wang, W. Fan, Y. Härdle, W.K. Zhu, L.
Status:	Published
Refereed:	Yes
Journal or Publication Title:	Journal of Business & Economic Statistics
Publisher:	Informa UK Limited
ISSN:	0735-0015
e-ISSN:	1537-2707
URI:	https://openaccess.city.ac.uk/id/eprint/15148
Date available in CRO:	10 Aug 2016 13:20
Date deposited:	10 August 2016
Dates:	Date Event 9 April 2016 Accepted 27 April 2016 Published Online