The non-Gaussian maximum likelihood estimator is frequently used in GARCH models with the intention of capturing heavy-tailed returns. However, unless the parametric likelihood family contains the true likelihood, the estimator is inconsistent due to density misspecification. To correct this...

This article reviews the literature on sparse high-dimensional models and discusses some applications in economics and finance. Recent developments in theory, methods, and implementations in penalized least-squares and penalized likelihood methods are highlighted. These variable selection...

The non-Gaussian maximum likelihood estimator is frequently used in GARCH models with the intention of capturing the heavy-tailed returns. However, unless the parametric likelihood family contains the true likelihood, the estimator is inconsistent due to density misspecification. To correct this...

This paper reviews the literature on sparse high dimensional models and discusses some applications in economics and finance. Recent developments of theory, methods, and implementations in penalized least squares and penalized likelihood methods are highlighted. These variable selection methods...

This article reviews the literature on sparse high-dimensional models and discusses some applications in economics and finance. Recent developments in theory, methods, and implementations in penalized least-squares and penalized likelihood methods are highlighted. These variable selection...