Pages that link to "Item:Q5864510"
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The following pages link to Lassoing the HAR Model: A Model Selection Perspective on Realized Volatility Dynamics (Q5864510):
Displayed 9 items.
- \(\ell_1\)-regularization of high-dimensional time-series models with non-Gaussian and heteroskedastic errors (Q898600) (← links)
- Forecasting realized volatility: a review (Q1622112) (← links)
- Chasing volatility. A persistent multiplicative error model with jumps (Q2294516) (← links)
- Specification and structural break tests for additive models with applications to realized variance data (Q2354863) (← links)
- Flexible HAR model for realized volatility (Q2697034) (← links)
- Jumps and oil futures volatility forecasting: a new insight (Q5014220) (← links)
- Adaptive Lasso for vector Multiplicative Error Models (Q5121495) (← links)
- Sparse Change-point HAR Models for Realized Variance (Q5860933) (← links)
- Model Selection and Shrinkage: An Overview (Q5864503) (← links)