Determination of vector error correction models in high dimensions (Q1739869)
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scientific article; zbMATH DE number 7048560
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| English | Determination of vector error correction models in high dimensions |
scientific article; zbMATH DE number 7048560 |
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Determination of vector error correction models in high dimensions (English)
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29 April 2019
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high-dimensional time series
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VECM
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cointegration rank and lag selection
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Lasso
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credit default swap
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0.8281170725822449
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0.8200286030769348
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0.7757495641708374
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0.7753079533576965
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0.7749808430671692
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