Additional Metadata
Keywords Cholesky-GARCH models; CHAR models; sparsity; hard thresholding penalty; SCAD penalty
Thesis Advisor Reuvers, J.W.N.
Persistent URL hdl.handle.net/2105/52796
Series Econometrie
Citation
Kemper, J.P.F.M. (2020, October 7). Sparse Cholesky-GARCH models. Econometrie. Retrieved from http://hdl.handle.net/2105/52796