Browsing Documentos Indexados pela Web of Science by Author "Medeiros, Marcelo C."
Now showing items 1-3 of 3
-
Adaptive LASSO estimation for ARDL models with GARCH innovations
2017In this paper, we show the validity of the adaptive least absolute shrinkage and selection operator (LASSO) procedure in estimating stationary autoregressive distributed lag(p,q) models with innovations in a broad class ... -
L(1)-regularization of high-dimensional time-series models with non-gaussian and heteroskedastic errors
2016-03We study the asymptotic properties of the Adaptive LASSO (adaLASSO) in sparse, high-dimensional, linear time-series models. The adaLASSO is a one-step implementation of the family of folded concave penalized least-squares. ... -
A (semi)parametric functional coefficient logarithmic autoregressive conditional duration model
2016-08-08In this article, we propose a class of logarithmic autoregressive conditional duration (ACD)-type models that accommodates overdispersion, intermittent dynamics, multiple regimes, and asymmetries in financial durations. ...
