\(\ell_1\)-regularization of high-dimensional time-series models with non-Gaussian and heteroskedastic errors

DOI10.1016/j.jeconom.2015.10.011zbMath1390.62179MaRDI QIDQ898600

Eduardo F. Mendes, Marcelo C. Medeiros

Publication date: 18 December 2015

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2015.10.011

zbMATH Keywords

time series; GARCH; forecasting; shrinkage; LASSO; AdaLASSO; sparse models

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62J07: Ridge regression; shrinkage estimators (Lasso)

91B84: Economic time series analysis

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