Adaptive Lasso for vector Multiplicative Error Models
Luca Cattivelli and Giampiero M. Gallo
| Year of publication: |
2020
|
|---|---|
| Authors: | Cattivelli, Luca ; Gallo, Giampiero M. |
| Subject: | Adaptive Lasso | Oracle property | Variable selection | vMEM | Volatility forecasting | Volatility spillovers | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Theorie | Theory | ARCH-Modell | ARCH model |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2019.1651451 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012194865