Lasso-based forecast combinations for forecasting realized variances
Wilms I., Rombouts J., Croux C.
| Year of publication: |
Oct-2016
|
|---|---|
| Authors: | Wilms, I. ; Rombouts, Jeroen V. K. ; Croux, Christophe |
| Publisher: |
Leuven, België : KU Leuven, Faculty of Economics and Business |
| Subject: | Forecast combination | Hierarchical lasso | Lasso | Ordered Lasso | Realized variance | Volatilityforecasting | Theorie | Theory | Prognoseverfahren | Forecasting model | Varianzanalyse | Analysis of variance | Modellierung | Scientific modelling | Prognose | Forecast |
| Extent: | 1 Online-Ressource (circa 24 Seiten) Illustrationen |
|---|---|
| Series: | KBI. - Leuven : [Verlag nicht ermittelbar], ZDB-ID 2397394-8. - Vol. KBI_16, 25 |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011671077