Adaptive Lasso for vector multiplicative error models

DOI10.1080/14697688.2019.1651451MaRDI QIDQ5121495zbMATH OpenOpenAlexWikidataFDO

Authors Luca Cattivelli, Giampiero M. Gallo

Publication date 14 September 2020

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697688.2019.1651451

zbMATH Keywords

variable selectionoracle propertyadaptive Lassovolatility forecastingvolatility spilloversvector multiplicative error models (vMEM)

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07) Inference from stochastic processes and prediction (62M20)

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Cited in

(15)

• The adaptive L1-penalized LAD regression for partially linear single-index models
• Adaptive robust estimation in sparse vector model
• LASSO for streaming data with adaptative filtering
• Capturing the spillover effect with multiplicative error models
• Linear trend filtering via adaptive Lasso
• Quasi maximum likelihood estimation of vector multiplicative error model using the ECCC-GARCH representation
• Subset selection for vector autoregressive processes via adaptive Lasso
• Tuning Parameter Selection for the Adaptive Lasso Using ERIC
• The adaptive LASSO spline estimation of single-index model
• Adaptive LASSO model selection in a multiphase quantile regression
• Adaptive LASSO-type estimation for multivariate diffusion processes
• Adaptive regularization for Lasso models in the context of nonstationary data streams
• scientific article; zbMATH DE number 6179253 (Why is no real title available?)
• D-trace estimation of a precision matrix using adaptive lasso penalties
• The Doubly Adaptive LASSO for Vector Autoregressive Models

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