Vs-TGARCHX: a flexible variable selection in log-TGARCHX models
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Cites work
- A polynomial algorithm for best-subset selection problem
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- Introductory econometrics for finance
- Penalized quasi-likelihood estimation and model selection with parameters on the boundary of the parameter space
- QML inference for volatility models with covariates
- Random forests
- Testing GARCH-X type models
- Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
- The jackknife and the bootstrap for general stationary observations
- The Model Confidence Set
- Time series forecasting using a hybrid ARIMA and neural network model
- Time series: theory and methods.
- Volatility forecast comparison using imperfect volatility proxies
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