Department of Finance

jostfi

Department of Finance

  • Center for Statistics
Jonas
Striaukas
Assistant professor


Room: SOL/A4.27
E-mail: jost.fi@cbs.dk
Primary research areas

(Mixed frequency data) econometrics, (robust) statistical learning methods

 

Links

Personal Website

Link to this homepage
www.cbs.dk/en/staff/jostfi
Other teaching activities

 


Selected publications

Babii A., Ball R., Ghysels, E., Striaukas, J. (2022+) "Machine learning panel data regressions with heavy-tailed dependent data: theory and application", forthcoming at Journal of Econometrics

Babii A., Ball R., Ghysels, E., Striaukas, J.(2022) Machine learning time series regressions with an application to nowcasting, Journal of Business & Economic Statistics, 40, 1094–1106. 

Publications sorted by:
2024
Andrii Babii; Ryan T. Ball; Eric Ghysels; Jonas Striaukas / Panel Data Nowcasting : The Case of Price–earnings Ratios.
In: Journal of Applied Econometrics, Vol. 39, No. 2, 3.2024, p. 292-307
Journal article > peer review
2023
Andrii Babii; Ryan T. Ball; Eric Ghysels; Jonas Striaukas / Machine Learning Panel Data Regressions with Heavy-Tailed Dependent Data : Theory and Application.
In: Journal of Econometrics, Vol. 237, No. 2, 12.2023
Journal article > peer review
Matthias Weber; Jonas Striaukas; Martin Schumacher; Harald Binder / Regularized Regression When Covariates are Linkes on a Network : The 3CoSE Algortihm.
In: Journal of Applied Statistics, Vol. 50, No. 3, 2023, p. 535-554
Journal article > peer review
2022
Jonas Striaukas / Estimation and Inference for High Dimensional Time Series Data Models
Louvain : Universite Catholique de Louvain 2022, 180 p.
PhD thesis
Andrii Babii; Eric Ghysels; Jonas Striaukas / High-dimensional Grander Causality Tests with an Application to VIX and News
In: Journal of Financial Econometrics, 4.7.2022
Journal article > peer review
Andrii Babii; Eric Ghysels; Jonas Striaukas / Machine Learning Time Series Regressions With an Application to Nowcasting
In: Journal of Business and Economic Statistics, Vol. 40, No. 3, 2022, p. 1094-1106
Journal article > peer review
Outside activities

  • 15/06/2022 – 28/09/2022 — Trainee, National Bank of Belgium. Project title: “Machine Learning Based Nowcasting Model for National Bank of Belgium and Euro Area”, Belgium