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Model selection and model averaging are popular approaches for handling modeling uncertainties. The existing literature offers a unified framework for variable selection via penalized likelihood and the tuning parameter selection is vital for consistent selection and optimal estimation. Few...
Persistent link: https://www.econbiz.de/10012025275
Model selection and model averaging are popular approaches for handling modeling uncertainties. The existing literature offers a unified framework for variable selection via penalized likelihood and the tuning parameter selection is vital for consistent selection and optimal estimation. Few...
Persistent link: https://www.econbiz.de/10012611180
This paper aims to enrich the understanding and modelling strategies for cryptocurrency markets by investigating major cryptocurrencies' returns determinants and forecast their returns. To handle model uncertainty when modelling cryptocurrencies, we conduct model selection for an autoregressive...
Persistent link: https://www.econbiz.de/10012611490
This paper aims to enrich the understanding and modelling strategies for cryptocurrency markets by investigating major cryptocurrencies´ returns determinants and forecast their returns. To handle model uncertainty when modelling cryptocurrencies, we conduct model selection for an autoregressive...
Persistent link: https://www.econbiz.de/10012388749