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

Christian Francq () and Genaro Sucarrat
Additional contact information
Christian Francq: CREST - Centre de Recherche en Économie et Statistique - ENSAI - Ecole Nationale de la Statistique et de l'Analyse de l'Information [Bruz] - GENES - Groupe des Écoles Nationales d'Économie et Statistique - X - École polytechnique - IP Paris - Institut Polytechnique de Paris - ENSAE Paris - École Nationale de la Statistique et de l'Administration Économique - GENES - Groupe des Écoles Nationales d'Économie et Statistique - IP Paris - Institut Polytechnique de Paris - CNRS - Centre National de la Recherche Scientifique, IP Paris - Institut Polytechnique de Paris
Genaro Sucarrat: BI Norwegian Business School [Oslo]

Post-Print from HAL

Date: 2017-01
References: Add references at CitEc
Citations:

Published in Journal of Multivariate Analysis, 2017, 153, pp.16-32. ⟨10.1016/j.jmva.2016.09.010⟩

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-05417319

DOI: 10.1016/j.jmva.2016.09.010

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().