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operator (Lasso) method proposed by Tibshirani (1996) and extended into quantile regression context by Li and Zhu (2008). The …
Persistent link: https://www.econbiz.de/10011557306
We propose a semiparametric measure to estimate systemic interconnectedness across financial institutions based on tail-driven spill-over effects in a ultra-high dimensional framework. Methodologically, we employ a variable selection technique in a time series setting in the context of a...
Persistent link: https://www.econbiz.de/10010428185
optimizes all the parameters within the model. We employ Lasso and elastic-net penalty functions as regularization approach. The …
Persistent link: https://www.econbiz.de/10009779289
penalization parameter () of a linear quantile lasso regression. The FRM is calculated by taking the average of the penalization …
Persistent link: https://www.econbiz.de/10011598919
quantile lasso regression methods for risk analysis based on NASDAQ data, Yahoo Finance data and some macro variables. The ….quantlet.de with the keyword FRM. The RiskAnalytics package is a convenient tool with the purpose of integrating lasso penalized …
Persistent link: https://www.econbiz.de/10011619517