Lassoing the HAR model : a model selection perspective on realized volatility dynamics

Francesco Audrino and Simon D. Knaus

Year of publication:	2012
Authors:	Audrino, Francesco ; Knaus, Simon D.
Publisher:	St. Gallen : School of Economics and Political Science, Dep. of Economics, Univ.
Subject:	Lasso heterogeneous autoregressive model \| Volatilität \| Volatility \| Modellierung \| Scientific modelling \| Monte-Carlo-Simulation \| Monte Carlo simulation \| Kointegration \| Cointegration \| Theorie \| Theory

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