We show that Mallows' model averaging estimator proposed by Hansen (2007) can be written as a least squares estimation with a weighted L₁ penalty and additional constraints. By exploiting this representation, we demonstrate that the weight vector obtained by this model averaging procedure has a...

This paper is concerned with the model averaging estimation for the conditional volatility model family. We propose a model averaging estimator for the conditional volatility under a framework of zero conditional mean and construct the corresponding weight choosing criterion. It is shown that...

This paper proposes a new time varying structural approximate dynamic factor (TVS-ADF) model by extending the ADF model in state-space form. This new TVS-ADF model considers time varying coefficients and a time varying variance covariance matrix for its innovation terms, through which it can...