Adaptive Lasso for vector Multiplicative Error Models
Year of publication: |
2020
|
---|---|
Authors: | Cattivelli, Luca ; Gallo, Giampiero M. |
Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 20.2020, 2, p. 255-274
|
Subject: | Adaptive Lasso | Oracle property | Variable selection | vMEM | Volatility forecasting | Volatility spillovers | Theorie | Theory | Volatilität | Volatility | Prognoseverfahren | Forecasting model | ARCH-Modell | ARCH model | Spillover-Effekt | Spillover effect |
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