High‐dimensional sparse multivariate stochastic volatility models (Q6135331)
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scientific article; zbMATH DE number 7731459
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| English | High‐dimensional sparse multivariate stochastic volatility models |
scientific article; zbMATH DE number 7731459 |
Statements
High‐dimensional sparse multivariate stochastic volatility models (English)
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24 August 2023
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forecasting
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multivariate stochastic volatility
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penalized M-estimation
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