Volatility forecasts are key inputs in financial analysis. While lasso based forecasts have shown to perform well in many applications, their use to obtain volatility forecasts has not yet received much attention in the literature. Lasso estimators produce parsimonious forecast models. Our...

Retailers use the Vector AutoRegressive (VAR) model as a standard tool to estimate the effects of prices, promotions and sales in one product category on the sales of another product category. Besides, these price, promotion and sales data are available for not just one store, but a whole chain...