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

Christian Francq and Genaro Sucarrat
Additional contact information
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:
Journal Article: An equation-by-equation estimator of a multivariate log-GARCH-X model of financial returns (2017)
Working Paper: Equation-by-Equation Estimation of a Multivariate Log-GARCH-X Model of Financial Returns (2015)
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 ().