repressing type). For the coefficient estimation steps an additional penalty is set on top of the lasso penalty, similarly to Li … sensitivity and specificity of non-zero covariate coefficients, estimation of network connection signs, and prediction performance …

Estimation of the volatility of time series has taken off since the introduction of the GARCH and stochastic volatility … unobserved stochastic volatility, and the varying approaches that have been taken for such estimation. In order to simplify the … comprehension of these estimation methods, the main methods for estimating stochastic volatility are discussed, with focus on their …

Estimation of the volatility of time series has taken off since the introduction of the GARCH and stochastic volatility … unobserved stochastic volatility, and the varying approaches that have been taken for such estimation.In order to simplify the … comprehension of these estimation methods, the main methods for estimating stochastic volatility are discussed, with focus on their …

orhistorical and Monte Carlo simulation methods. Although these approaches to overall VaR estimation have receivedsubstantial … proposed estimation approach pairs intuitiveappeal with computational efficiency. We evaluate various alternative estimation …

over time and where possible serial correlation is modeled via stochastically time-varying intensities of the underlying … extension of numerically accelerated importance sampling techniques. We illustrate the new model by two empirical studies and …

. They are applicable to the complete class of observation driven models and are valid for a wide range of estimation …