predictors of interest), selective search within the range of possible models, control of collinearity, out-of-sample forecasting …

suboptimal for forecasting purposes. The paper proposes the use of a class of shrinkage estimators that includes the Ridge … estimator for forecasting time series, with a special attention to GARCH and ACD models. The local large sample properties of …-daily financial durations forecasting application. The empirical application shows that an appropriate shrinkage forecasting …