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Structure and asymptotic theory for nonlinear models with GARCH errors
Chan, Felix; McAleer, Michael; Medeiros, Marcelo C. - In: EconomiA 16 (2015) 1, pp. 1-21
-Maximum Likelihood Estimator for a general nonlinear conditional mean model with first-order GARCH errors. …
Persistent link: https://www.econbiz.de/10011858424
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Structure and asymptotic theory for STAR(1)-GARCH(1,1) models
Chan, Felix; McAleer, Michael; Medeiros, Marcelo C. - 2005
Nonlinear time series models, especially those with regime-switching and GARCH errors, have become increasingly popular … of three different specifications of the first-order STAR-GARCH model, and sufficient conditions for the existence of …
Persistent link: https://www.econbiz.de/10011933956
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l1-Regularization of High-Dimensional Time-Series Models with Flexible Innovations
Medeiros, Marcelo C.; Mendes, Eduardo F. - 2015
We study the asymptotic properties of the Adaptive LASSO (adaLASSO) in sparse, high-dimensional, linear time-series models. We assume that both the number of covariates in the model and the number of candidate variables can increase with the sample size (polynomially orgeometrically). In other...
Persistent link: https://www.econbiz.de/10011807460
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Adaptative LASSO estimation for ARDL models with GARCH innovations
Medeiros, Marcelo C.; Mendes, Eduardo F. - 2015
In this paper we show the validity of the adaptive LASSO procedure in estimating stationary ARDL(p,q) models with GARCH …
Persistent link: https://www.econbiz.de/10011807461
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Adaptive LASSO estimation for ARDL models with garch innovations
Medeiros, Marcelo C.; Mendes, Eduardo F. - 2015
In this paper we show the validity of the adaptive LASSO procedure in estimating stationary ARDL(p,q) models with GARCH …
Persistent link: https://www.econbiz.de/10010505034
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L1-regularization of high-dimensional time-series models with flexible innovations
Medeiros, Marcelo C.; Mendes, Eduardo F. - 2015
We study the asymptotic properties of the Adaptive LASSO (adaLASSO) in sparse, high-dimensional, linear time-series models. We assume that both the number of covariates in the model and the number of candidate variables can increase with the sample size (polynomially or geometrically). In other...
Persistent link: https://www.econbiz.de/10010505038
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L1-regularization of high-dimensional time-series models with non-Gaussian and heteroskedastic errors
Medeiros, Marcelo C.; Mendes, Eduardo F. - In: Journal of econometrics 191 (2016) 1, pp. 255-271
Persistent link: https://www.econbiz.de/10011598121
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Structure and asymptotic theory for nonlinear models with GARCH errors
Chan, Felix; McAleer, Michael; Medeiros, Marcelo C. - In: Economia : revista da ANPEC 16 (2015) 1, pp. 1-21
-Maximum Likelihood Estimator for a general nonlinear conditional mean model with first-order GARCH errors. …
Persistent link: https://www.econbiz.de/10011865378
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Adaptive LASSO estimation for ARDL models with GARCH innovations
Medeiros, Marcelo C.; Mendes, Eduardo F. - In: Econometric reviews 36 (2017) 6/9, pp. 622-637
Persistent link: https://www.econbiz.de/10011795298
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Are There Multiple Regimes in Financial Volatility?
Medeiros, Marcelo C.; Veiga, Alvaro - Society for Computational Economics - SCE - 2002
Persistent link: https://www.econbiz.de/10005537659