ℓ 1 -regularization of high-dimensional time-series models with non-Gaussian and heteroskedastic errors

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Bibliographic Details
Published in	Journal of econometrics Vol. 191; no. 1; pp. 255 - 271
Main Authors	Medeiros, Marcelo C., Mendes, Eduardo F.
Format	Journal Article
Language	English
Published	01.03.2016
Online Access	Get full text

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ISSN:	0304-4076
DOI:	10.1016/j.jeconom.2015.10.011