Estimation and inference in univariate and multivariate log-GARCH-X models when the conditional density is unknown
type: Item
instance of: scholarly article
title: Estimation and inference in univariate and multivariate log-GARCH-X models when the conditional density is unknown
zbMATH Open document ID: 1466.62199
author: Genaro Sucarrat
author: Steffen Grønneberg
author: Alvaro Escribano
published in: Computational Statistics and Data Analysis
publication date: 2018-08-15T00:00:00Z
full work available at URL: http://hdl.handle.net/10016/25169
Mathematics Subject Classification ID: 62-08
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 91G70
zbMATH DE Number: 6918352
zbMATH Keywords: log-GARCH-X
zbMATH Keywords: ARMA-X
zbMATH Keywords: multivariate log-GARCH-X
zbMATH Keywords: VARMA-X
zbMATH Keywords: volatility
describes a project that uses: AutoSEARCH
describes a project that uses: gets
describes a project that uses: lgarch
describes a project that uses: R
MaRDI profile type: Publication
OpenAlex ID: W1921705024
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DOI: 10.1016/J.CSDA.2015.12.005
description: scientific article; zbMATH DE number 6918352