L1 regularization for high-dimensional multivariate GARCH models
Alternative title: | L 1 regularization for high-dimensional multivariate GARCH models |
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Year of publication: |
2024
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Authors: | Yao, Sijie ; Zou, Hui ; Xing, Haipeng |
Published in: |
Risks : open access journal. - Basel : MDPI, ISSN 2227-9091, ZDB-ID 2704357-5. - Vol. 12.2024, 2, Art.-No. 34, p. 1-29
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Subject: | Markov chain Monte Carlo | multivariate GARCH | spillover | stochastic approximation | ARCH-Modell | ARCH model | Markov-Kette | Markov chain | Monte-Carlo-Simulation | Monte Carlo simulation | Schätztheorie | Estimation theory | Multivariate Analyse | Multivariate analysis | Spillover-Effekt | Spillover effect | Volatilität | Volatility | Zeitreihenanalyse | Time series analysis |
Type of publication: | Article |
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Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Notes: | Im Haupttitel ist "1" tiefgestellt |
Other identifiers: | 10.3390/risks12020034 [DOI] |
Source: | ECONIS - Online Catalogue of the ZBW |
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