Browsing Rede de Pesquisa e Conhecimento Aplicado by Title "Forecasting large covariance matrices: comparing autometrics and LASSOVAR"

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    • Forecasting large covariance matrices: comparing autometrics and LASSOVAR 

      Cunha, Ronan; Kock, Anders Bredahl; Pereira, Pedro L. Valls
      2019
      This study aims to compare the performance of two well known automatic model selection algorithms, Autometrics (Hendry and Krolzig, 1999; Doornik, 2009), LASSOVAR and adaptive LASSOVAR (Callot et al., 2017) for modelling ...