Lassoing the HAR Model: A Model Selection Perspective on Realized Volatility Dynamics (Q5864510)

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scientific article; zbMATH DE number 7537960
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Lassoing the HAR Model: A Model Selection Perspective on Realized Volatility Dynamics
scientific article; zbMATH DE number 7537960

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    Lassoing the HAR Model: A Model Selection Perspective on Realized Volatility Dynamics (English)
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    7 June 2022
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    heterogeneous autoregressive model
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    Lasso
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    model selection
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    realized volatility
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