Semi-parametric estimation and forecasting for exogenous log-GARCH models

DOI10.1007/s11749-015-0442-6zbMath1338.62075OpenAlexW2026061832MaRDI QIDQ285838

Ming Chen, Qiongxia Song

Publication date: 19 May 2016

Published in: Test (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11749-015-0442-6

zbMATH Keywords

splinesemiparametric regressionquasi-likelihood estimationexogenous variablefinancial volatilitylog-GARCH

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Nonparametric estimation (62G05)

Related Items (1)

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

Cites Work

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