Sparse vector error correction models with application to cointegration‐based trading (Q6081857)
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scientific article; zbMATH DE number 7746454
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Sparse vector error correction models with application to cointegration‐based trading |
scientific article; zbMATH DE number 7746454 |
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Sparse vector error correction models with application to cointegration‐based trading (English)
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5 October 2023
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adaptive Lasso
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cointegration
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large-sized portfolio
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