Coordinate gradient descent algorithm in adaptive LASSO for pure ARCH and pure GARCH models

Muhammad Jaffri Mohd Nasir, R. Nazim Khan, Gopalan M. Nair, Darfiana Nur. Coordinate gradient descent algorithm in adaptive LASSO for pure ARCH and pure GARCH models. Comput. Stat., 40(7):3527-3561, September 2025. [doi]

Abstract

Abstract is missing.