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

DOI10.1016/J.JMVA.2016.09.010MaRDI QIDQ2374397zbMATH OpenOpenAlexFDO

Authors C. 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

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

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Cites work

• scientific article; zbMATH DE number 2231189 (Why is no real title available?)
• A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
• A multiple indicators model for volatility using intra-daily data
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Continuous invertibility and stable QML estimation of the EGARCH(1,1) model
• Dynamic factor multivariate GARCH model
• Estimating multivariate volatility models equation by equation
• Estimation and inference in univariate and multivariate log-GARCH-X models when the conditional density is unknown
• Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: a stochastic recurrence equations approach
• Semi-parametric estimation and forecasting for exogenous log-GARCH models
• Stationarity and geometric ergodicity of BEKK multivariate GARCH models
• Statistical Methods in Markov Chains
• THE GARCH OPTION PRICING MODEL
• The Price Variability-Volume Relationship on Speculative Markets

Cited in

(8)

• Estimating multivariate volatility models equation by equation
• Testing for local covariate trend effects in volatility models
• On partial-sum processes of ARMAX residuals
• Statistical inference for measurement equation selection in the log-RealGARCH model
• Estimation and inference in univariate and multivariate log-GARCH-X models when the conditional density is unknown
• Estimation of multivariate asymmetric power GARCH models
• Inference and model selection in general causal time series with exogenous covariates
• Liquidity and volatility in the U.S. Treasury market

Describes a project that uses

Uses Software

• lgarch

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