2 items found

Groups: figshare Restricted Access Tags: 80699 Information Systems not elsewhere classified keywords.Economics and Econometrics keywords.Statistics and Probability

Filter Results
  • publication

    Multiple regression model averaging and the focused information criterion wit...

    We consider multiple regression (MR) model averaging using the Focused Informati on Criterion (FIC). Our approach is motivated by the problem of implementing a mean-variance...
  • publication

    Leverage, Asymmetry, and Heavy Tails in the High-Dimensional Factor Stochasti...

    We develop a flexible modeling and estimation framework for a high-dimensional factor stochastic volatility (SV) model. Our specification allows for leverage effects, asymmetry...