CAViaR model selection via adaptive Lasso

DOI10.1111/JTSA.12804MaRDI QIDQ6854962zbMATH OpenFDO

Authors Zongwu Cai, Ying Fang, Dingshi Tian

Publication date 23 February 2026

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/JTSA.12804

zbMATH Keywords

adaptive LassoCAViaR modelmodel selectiontail risk

Mathematics Subject Classification ID

Statistics of extreme values; tail inference (62G32) Ridge regression; shrinkage estimators (Lasso) (62J07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites work

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• On the asymptotics of constrained \(M\)-estimation
• Quantiles, expectiles and splines
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• The Adaptive Lasso and Its Oracle Properties
• The Asymptotic Normality of Two-Stage Least Absolute Deviations Estimators
• VAR for VaR: measuring tail dependence using multivariate regression quantiles
• Variable selection in quantile regression

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