An equation-by-equation estimator of a multivariate log-GARCH-X model of financial returns (Q2374397)
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scientific article; zbMATH DE number 6663943
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| English | An equation-by-equation estimator of a multivariate log-GARCH-X model of financial returns |
scientific article; zbMATH DE number 6663943 |
Statements
An equation-by-equation estimator of a multivariate log-GARCH-X model of financial returns (English)
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15 December 2016
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exponential GARCH
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multivariate log-GARCH-X
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VARMA-X
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equation-by-equation estimation (EBEE)
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least squares
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0.8523658514022827
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0.820705235004425
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0.7668591141700745
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0.7658259272575378
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0.7640123963356018
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