High-dimensional penalized arch processes

DOI10.1080/07474938.2020.1761153zbMath1490.62264OpenAlexW3025340536MaRDI QIDQ5861049

Jean-David Fermanian, Benjamin Poignard

Publication date: 4 March 2022

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474938.2020.1761153

zbMATH Keywords

positive definitenessstationaritymultivariate ARCHsparse group Lasso

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Ridge regression; shrinkage estimators (Lasso) (62J07) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

Related Items (1)

High‐dimensional sparse multivariate stochastic volatility models

Uses Software

• glasso

Cites Work

• Unnamed Item
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• Asymptotics of Cholesky GARCH models and time-varying conditional betas
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• Asymptotic theory of the adaptive sparse group Lasso
• Ergodicity of Markov chains in an algebraic manifold: application to multivariate GARCH models
• Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
• Multivariate Stochastic Volatility: A Review

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