Dimension reduction via penalized GLMs for non-Gaussian response: Application to stock market volatility
Year of publication: |
2021
|
---|---|
Authors: | Li, Tao ; Desmond, Anthony F. ; Stengos, Thanasēs |
Published in: |
Journal of Risk and Financial Management. - Basel : MDPI, ISSN 1911-8074. - Vol. 14.2021, 12, p. 1-26
|
Publisher: |
Basel : MDPI |
Subject: | inverse Gaussian distribution | LASSO | stock market volatility |
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