Equation-by-Equation Estimation of a Multivariate Log-GARCH-X Model of Financial Returns
Year of publication: |
2015-10-08
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Authors: | Francq, Christian ; Sucarrat, Genaro |
Type of publication: | Book / Working Paper |
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Language: | English |
Notes: | Francq, Christian and Sucarrat, Genaro (2015): Equation-by-Equation Estimation of a Multivariate Log-GARCH-X Model of Financial Returns. |
Classification: | C13 - Estimation ; C22 - Time-Series Models ; C32 - Time-Series Models ; C51 - Model Construction and Estimation ; c58 |
Source: | BASE |
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