An HPVAR Volatility Model with IHOO Regularization and Its Empirical Application

CHENG Yao, WANG Gaochao, NING Hanwen, LIN Jinguan

Journal of Systems Science and Mathematical Sciences ›› 2026, Vol. 46 ›› Issue (10) : 3452-3470.

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Journal of Systems Science and Mathematical Sciences ›› 2026, Vol. 46 ›› Issue (10) : 3452-3470. DOI: 10.12341/jssms250955

An HPVAR Volatility Model with IHOO Regularization and Its Empirical Application

  • CHENG Yao1, WANG Gaochao1, NING Hanwen2, LIN Jinguan1
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{{article.zuoZheEn_L}}. {{article.title_en}}. Journal of Systems Science and Mathematical Sciences, 2026, 46(10): 3452-3470 https://doi.org/10.12341/jssms250955

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