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

Christian Francq Genaro Sucarrat

Published in: J. Multivar. Anal. (2017)

Keyphrases

mathematical model
genetic algorithm
theoretical analysis
probabilistic model
decision making
image segmentation
long term
decision trees
theoretical framework
experimental data
management system
regression model
data sets
statistical model
formal model
autoregressive
financial risk