Cholesky-GARCH models; CHAR models; sparsity; hard thresholding penalty; SCAD penalty
Reuvers, J.W.N.
hdl.handle.net/2105/52796
Econometrie
Erasmus School of Economics

Kemper, J.P.F.M. (2020, October 7). Sparse Cholesky-GARCH models. Econometrie. Retrieved from http://hdl.handle.net/2105/52796