Vs-TGARCHX: a flexible variable selection in log-TGARCHX models

DOI10.1515/JTSE-2023-0035MaRDI QIDQ6966560zbMATH OpenFDO

Authors Samir Orujov, Víctor Elvira, Audrey Poterie, Farid Rajabov, François Septier

Publication date 27 June 2025

Published in Journal of Time Series Econometrics (Search for Journal in Brave)

zbMATH Keywords

variable selectionGARCHbitcoin volatilitylog-GARCHX

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

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