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Center for Financial Studies
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
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Sonderforschungsbereich 373, Quantifikation und Simulation ökonomischer Prozesse, Wirtschaftswissenschaftliche Fakultät
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Efficient iterative maximum likelihood estimation of high-parameterized time series models
Hautsch, Nikolaus
;
Okhrin, Ostap
;
Ristig, Alexander
-
Center for Financial Studies
-
2014
with a penalization approach yielding
sparsity
and reducing model complexity. Small sample properties of the estimator are …
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