Lassoing the HAR model : a model selection perspective on realized volatility dynamics
Francesco Audrino and Simon D. Knaus
| Year of publication: |
2016
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|---|---|
| Authors: | Audrino, Francesco ; Knaus, Simon D. |
| Published in: |
Econometric reviews. - Philadelphia, Pa. : Taylor & Francis, ISSN 0731-1761, ZDB-ID 797463-2. - Vol. 35.2016, 8/10, p. 1485-1521
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| Subject: | Heterogeneous autoregressive model | Lasso | Model selection | Realized volatility | Volatilität | Volatility | Modellierung | Scientific modelling | Zeitreihenanalyse | Time series analysis | ARCH-Modell | ARCH model | Schätztheorie | Estimation theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/07474938.2015.1092801 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011592369