Forecasting a Panel of Volatility with Shrinkage and Factor Models
Marcelo Medeiros (PUC-Rio)
Abstract: We propose a model based on shrinkage methods, such as LASSO, and factor models to forecast a large panel of daily realized volatilities.
Marcelo Medeiros (PUC-Rio)
Abstract: We propose a model based on shrinkage methods, such as LASSO, and factor models to forecast a large panel of daily realized volatilities.