Adaptive Lasso for vector Multiplicative Error Models
Author:
Affiliation:
1. Scuola Normale Superiore, Piazza dei Cavalieri 7, Pisa 56126, Italy
2. Corte dei conti, Via Marina 5, Milano 20121, Italy
3. NYU in Florence, Florence, Italy
4. Rimini Centre for Economic Analysis, Waterloo, ON, Canada
Publisher
Informa UK Limited
Subject
General Economics, Econometrics and Finance,Finance
Link
https://www.tandfonline.com/doi/pdf/10.1080/14697688.2019.1651451
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1. Asymptotic Theory of Certain "Goodness of Fit" Criteria Based on Stochastic Processes
2. Lassoing the HAR Model: A Model Selection Perspective on Realized Volatility Dynamics
3. Disentangling systematic and idiosyncratic dynamics in panels of volatility measures
4. Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
5. The Logarithmic ACD Model: An Application to the Bid-Ask Quote Process of Three NYSE Stocks
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