Narrow search
Showing 1 - 10 of 140
Cover Image
l1-Regularization of High-Dimensional Time-Series Models with Flexible Innovations
Medeiros, Marcelo C.; Mendes, Eduardo F. - 2015
We study the asymptotic properties of the Adaptive LASSO (adaLASSO) in sparse, high-dimensional, linear time-series models. We assume that both the number of covariates in the model and the number of candidate variables can increase with the sample size (polynomially orgeometrically). In other...
Persistent link: https://www.econbiz.de/10011807460
Cover Image
L1-regularization of high-dimensional time-series models with flexible innovations
Medeiros, Marcelo C.; Mendes, Eduardo F. - 2015
We study the asymptotic properties of the Adaptive LASSO (adaLASSO) in sparse, high-dimensional, linear time-series models. We assume that both the number of covariates in the model and the number of candidate variables can increase with the sample size (polynomially or geometrically). In other...
Persistent link: https://www.econbiz.de/10010505038
Cover Image
L1-regularization of high-dimensional time-series models with non-Gaussian and heteroskedastic errors
Medeiros, Marcelo C.; Mendes, Eduardo F. - In: Journal of econometrics 191 (2016) 1, pp. 255-271
Persistent link: https://www.econbiz.de/10011598121
Cover Image
Risikomanagement in der Logistik : Konzepte - Instrumente - Anwendungsbeispiele
Huth, Michael (ed.); Romeike, Frank (ed.) - 2016
Persistent link: https://www.econbiz.de/10011342094
Cover Image
A multiple regime smooth transition heterogeneous autoregressive model for long memory and asymmetries
McAleer, Michael; Medeiros, Marcelo C. - 2007
flexible for purposes of forecasting volatility. …
Persistent link: https://www.econbiz.de/10011807368
Cover Image
A multiple regime smooth transition heterogeneous autoregressive model for long memory and asymmetries
McAller, Michael; Medeiros, Marcelo C. - Departamento de Economia, Pontifícia Universidade … - 2007
flexible for purposes of forecasting volatility. …
Persistent link: https://www.econbiz.de/10005744743
Cover Image
Structure and Asymptotic Theory for Nonlinear Models with GARCH Errors
Chan, Felix; McAleer, Michael; Medeiros, Marcelo C. - Department of Economics and Finance, College of … - 2010
- Maximum Likelihood Estimator for a general nonlinear conditional mean model with first-order GARCH errors. …
Persistent link: https://www.econbiz.de/10008765700
Cover Image
Structure and Asymptotic Theory for Nonlinear Models with GARCH Errors
Chan, Felix; McAleer, Michael; Medeiros, Marcelo C. - Institute of Economic Research, Kyoto University - 2010
- Maximum Likelihood Estimator for a general nonlinear conditional mean model with first-order GARCH errors. …
Persistent link: https://www.econbiz.de/10008774524
Cover Image
Adaptative LASSO estimation for ARDL models with GARCH innovations
Medeiros, Marcelo C.; Mendes, Eduardo F. - 2015
In this paper we show the validity of the adaptive LASSO procedure in estimating stationary ARDL(p,q) models with GARCH …
Persistent link: https://www.econbiz.de/10011807461
Cover Image
Structure and asymptotic theory for nonlinear models with GARCH errors
Chan, Felix; McAleer, Michael; Medeiros, Marcelo C. - In: EconomiA 16 (2015) 1, pp. 1-21
-Maximum Likelihood Estimator for a general nonlinear conditional mean model with first-order GARCH errors. …
Persistent link: https://www.econbiz.de/10011858424