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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| English | Lassoing the HAR model: a model selection perspective on realized volatility dynamics |
scientific article; zbMATH DE number 7537960 |
Statements
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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0.7876459360122681
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0.7843255400657654
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0.771196186542511
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0.766007661819458
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