Lassoing the HAR Model: A Model Selection Perspective on Realized Volatility Dynamics (Q5864510)
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scientific article; zbMATH DE number 7537960
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Lassoing the HAR Model: A Model Selection Perspective on Realized Volatility Dynamics |
scientific article; zbMATH DE number 7537960 |
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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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