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L 1 Regularization for High-Dimensional Multivariate GARCH Models.

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Title: L 1 Regularization for High-Dimensional Multivariate GARCH Models.
Authors: Yao, Sijie1 (AUTHOR) sijie.yao@moffitt.org, Zou, Hui2 (AUTHOR), Xing, Haipeng3 (AUTHOR) haipeng.xing@stonybrook.edu
Source: Risks. Feb2024, Vol. 12 Issue 2, p34. 29p.
Database: Business Source Ultimate
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ISSN:22279091
DOI:10.3390/risks12020034