Adaptive Lasso for vector Multiplicative Error Models (Q5121495)
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scientific article; zbMATH DE number 7246979
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Adaptive Lasso for vector Multiplicative Error Models |
scientific article; zbMATH DE number 7246979 |
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Adaptive Lasso for vector Multiplicative Error Models (English)
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14 September 2020
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vector multiplicative error models (vMEM)
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volatility spillovers
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volatility forecasting
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adaptive Lasso
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variable selection
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oracle property
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