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Homeen-gbLarge vector autoregressive exogenous factor (VARX) model with network regularizationIn this paper the authors introduce a novel penalty method for the VARX model in the context of portfolio returns, which aggregates the information from the financial networks of portfolios.
https://www.risk.net/journal-of-network-theory-in-finance/7946931/large-vector-autoregressive-exogenous-factor-varx-model-with-network-regularization
https://www.risk.net/journal-of-network-theory-in-finance/7946931/large-vector-autoregressive-exogenous-factor-varx-model-with-network-regularization
Tue, 26 Apr 2022 11:34:46 +0100