Threshold variable selection of asymmetric stochastic volatility models.

Cathy W. S. Chen Feng-Chi Liu Mike K. P. So

Published in: Comput. Stat. (2013)

Keyphrases

variable selection
linear models
model selection
stochastic search
input variables
cross validation
logistic regression models
dimension reduction
garch model
neural network
computer vision
genetic programming
logistic regression