Adaptive LASSO-MGARCH for Multivariate Volatility Forecasting
Introducing coefficient-specific penalization into multivariate GARCH equations reduces complexity and improves out-of-sample covariance forecasts across bonds, equities, and commodities.
Featured in No. 132 on 25 Sep 2026 · 9 days after release
- Released
- 16 Sep 2026
- First featured
- No. 132 · 25 Sep 2026
- Published in
- Not yet, as far as Semantic Scholar knows
- Fanfare
- 2 of 5
- Identifier
- RePEc:cdf:wpaper:2026/4
- Authors
- Yongdeng Xu et al.
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