An equation-by-equation estimator of a multivariate log-GARCH-X model of financial returns
DOI10.1016/J.JMVA.2016.09.010zbMATH Open1351.62164OpenAlexW2202017175MaRDI QIDQ2374397FDOQ2374397
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
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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)
Cites Work
- Title not available (Why is that?)
- A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
- Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: a stochastic recurrence equations approach
- Conditional Heteroskedasticity in Asset Returns: A New Approach
- The Price Variability-Volume Relationship on Speculative Markets
- A multiple indicators model for volatility using intra-daily data
- Estimating multivariate volatility models equation by equation
- Stationarity and geometric ergodicity of BEKK multivariate GARCH models
- Semi-parametric estimation and forecasting for exogenous log-GARCH models
- THE GARCH OPTION PRICING MODEL
- Statistical Methods in Markov Chains
- Dynamic factor multivariate GARCH model
- Continuous invertibility and stable QML estimation of the EGARCH(1,1) model
- Estimation and inference in univariate and multivariate log-GARCH-X models when the conditional density is unknown
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
Uses Software
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