https://repositorio.fgv.br/items/0bedff75-288e-47c1-a9fb-7c455bd5c533
Forecasting large covariance matrices: comparing autometrics and LASSOVAR
This study aims to compare the performance of two well known automatic model selection algorithms, Autometrics (Hendry and Krolzig, 1999; Doornik, 2009),...
forecastinglargecovariancematricescomparing