An equation-by-equation estimator of a multivariate log-GARCH-X model of financial returns

DOI10.1016/j.jmva.2016.09.010zbMath1351.62164OpenAlexW2202017175MaRDI QIDQ2374397

Christian Francq, Genaro Sucarrat

Publication date: 15 December 2016

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2016.09.010

zbMATH Keywords

least squaresexponential GARCHmultivariate log-GARCH-XVARMA-Xequation-by-equation estimation (EBEE)

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84) Estimation in survival analysis and censored data (62N02)

Related Items (7)

Inference and model selection in general causal time series with exogenous covariates ⋮ Estimation and inference in univariate and multivariate log-GARCH-X models when the conditional density is unknown ⋮ Liquidity and volatility in the U.S. Treasury market ⋮ Testing for local covariate trend effects in volatility models ⋮ On partial-sum processes of ARMAX residuals ⋮ Estimation of multivariate asymmetric power GARCH models ⋮ STATISTICAL INFERENCE FOR MEASUREMENT EQUATION SELECTION IN THE LOG-REALGARCH MODEL

Uses Software

• lgarch

Cites Work

• Unnamed Item
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• Estimating Multivariate Volatility Models Equation by Equation

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