<i>L</i><sub>1</sub> Regularization for High-Dimensional Multivariate GARCH Models
The complexity of estimating multivariate GARCH models increases significantly with the increase in the number of asset series. To address this issue, we propose a general regularization framework for high-dimensional GARCH models with BEKK representations, and obtain a penalized quasi-maximum likel...
Main Authors: | , , |
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Format: | Article |
Language: | English |
Published: |
MDPI AG
2024-02-01
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Series: | Risks |
Subjects: | |
Online Access: | https://www.mdpi.com/2227-9091/12/2/34 |