Estimation and inference in univariate and multivariate log-GARCH-X models when the conditional density is unknown
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Publication:1659146
DOI10.1016/j.csda.2015.12.005zbMath1466.62199OpenAlexW1921705024MaRDI QIDQ1659146
Steffen Grønneberg, Alvaro Escribano, Genaro Sucarrat
Publication date: 15 August 2018
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10016/25169
Computational methods for problems pertaining to statistics (62-08) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)
Related Items (7)
Inference and model selection in general causal time series with exogenous covariates ⋮ An equation-by-equation estimator of a multivariate log-GARCH-X model of financial returns ⋮ Testing for local covariate trend effects in volatility models ⋮ Goodness-of-fit tests for Log-GARCH and EGARCH models ⋮ On partial-sum processes of ARMAX residuals ⋮ Estimation of multivariate asymmetric power GARCH models ⋮ STATISTICAL INFERENCE FOR MEASUREMENT EQUATION SELECTION IN THE LOG-REALGARCH MODEL
Uses Software
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