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Tail Risk Association Network Based on the Logit-Lasso Vector Autoregressive Model.

Chunyan ZhaoLingzhi HuLiang Wu
Published in: BDEIM (2023)
Keyphrases
  • autoregressive model
  • wavelet domain
  • autoregressive
  • feature selection
  • least squares
  • feature vectors
  • wavelet decomposition
  • wavelet analysis
  • multiscale
  • model selection
  • preprocessing
  • detection algorithm
  • sample size