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Flavio A Ziegelmann
Information about the author Flavio A Ziegelmann will soon be added to the site.
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2 papers
in total
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LASSO-Type Penalties for Covariate Selection and Forecasting in Time Series
2016
This paper studies some forms of LASSO‐type penalties in time series to reduce...
Volatility Forecasting via MIDAS, HAR and their Combination: An Empirical Comparative Study for IBOVESPA
2014
In this paper we compare several multi‐period volatility forecasting models,...
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