Modeling stock returns with multivariate LSTGARCH models

Gilles Dufrénot (), Vêlayoudom Marimoutou () and Anne Peguin-Feissolle
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Vêlayoudom Marimoutou: GREQAM - Groupement de Recherche en Économie Quantitative d'Aix-Marseille - EHESS - École des hautes études en sciences sociales - AMU - Aix Marseille Université - ECM - École Centrale de Marseille - CNRS - Centre National de la Recherche Scientifique
Anne Peguin-Feissolle: GREQAM - Groupement de Recherche en Économie Quantitative d'Aix-Marseille - EHESS - École des hautes études en sciences sociales - AMU - Aix Marseille Université - ECM - École Centrale de Marseille - CNRS - Centre National de la Recherche Scientifique

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Keywords: lstgarch (search for similar items in EconPapers)
Date: 2001-05-30
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Published in Eight International Conference « Forecasting Financial Markets : Advances for Exchange Rates, Interest Rates and Asset Management, May 2001, Londres, United Kingdom

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:halshs-00403720

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