<i>L</i><sub>1</sub> Regularization for High-Dimensional Multivariate GARCH Models
The complexity of estimating multivariate GARCH models increases significantly with the increase in the number of asset series. To address this issue, we propose a general regularization framework for high-dimensional GARCH models with BEKK representations, and obtain a penalized quasi-maximum likel...
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| Hlavní autoři: | , , |
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| Médium: | Artigo |
| Jazyk: | Inglês |
| Vydáno: |
MDPI AG
2024-02-01
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| Edice: | Risks |
| Témata: | |
| On-line přístup: | https://www.mdpi.com/2227-9091/12/2/34 |
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