Iteratively reweighted adaptive lasso for conditional heteroscedastic time series with applications to AR–ARCH type processes

Computational Statistics and Data Analysis

Volumn 100, Issue , 2016, Pages 773-793

  Ziel, Florian ^a  

^a EUROPEAN UNIVERSITY VIADRINA   (Germany)

Author keywords

AR ARCH; Autoregressive process; Conditional heteroscedasticity; High dimensional time series; Lasso; Volatility

Indexed keywords

ARCHES; BIG DATA; ITERATIVE METHODS;

AUTO REGRESSIVE PROCESS; CONDITIONAL HETEROSCEDASTICITY; HIGH-DIMENSIONAL; LASSO; VOLATILITY;

TIME SERIES ANALYSIS;

EID: 84975275087     PISSN: 01679473     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.csda.2015.11.016     Document Type: Article

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