Machine Learning Regularization Methods in High-Dimensional Monetary and Financial VARs
Vector autoregressions (VARs) and their multiple variants are standard models in economic and financial research due to their power for forecasting, data analysis and inference. These properties are a consequence of their capabilities to include multiple variables and lags which, however, turns into...
| Huvudupphovsmän: | , |
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| Materialtyp: | info:eu-repo/semantics/article |
| Språk: | English |
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MDPI
2022
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| Länkar: | http://hdl.handle.net/10835/13536 |