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Combining LASSO-Type Methods with a Smooth Transition Random Forest, Gandini, A., and Ziegelmann F. A. , (Submitted)
Measuring systemic risk via GAS models and extreme value theory: Revisiting the 2007 financial crisis, Gavronski, P., and Ziegelmann F. A. , Finance Research Letters, Volume 38, p.101498, (2021)