Automated variable selection in vector multiplicative error models-Reference-Cited by-同舟云学术

Automated variable selection in vector multiplicative error models

Published:2010-11 Issue:11 Volume:54 Page:2470-2486
ISSN:0167-9473
Container-title:Computational Statistics & Data Analysis
language:en
Short-container-title:Computational Statistics & Data Analysis

Author:

Cipollini Fabrizio,Gallo Giampiero M.

Publisher

Elsevier BV

Subject

Applied Mathematics,Computational Theory and Mathematics,Computational Mathematics,Statistics and Probability

Reference32 articles.

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5. Brownlees, C.T., Gallo, G.M., 2009. Comparison of volatility measures: A risk management perspective. Journal of Financial Econometrics 7 (4), forthcoming (doi:10.1093/jjfinec/nbp009)

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