<i>L</i>₁ 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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Autors principals:	Sijie Yao, Hui Zou, Haipeng Xing
Format:	Artigo
Idioma:	Inglês
Publicat:	MDPI AG 2024-02-01
Col·lecció:	Risks
Matèries:	Markov chain Monte Carlo multivariate GARCH spillover stochastic approximation
Accés en línia:	https://www.mdpi.com/2227-9091/12/2/34
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