Genetic modelling of multivariate EGARCHX-processes: Evidence on the international asset return signal response mechanism

Computational Statistics and Data Analysis

Volumn 38, Issue 1, 2001, Pages 71-93

  Östermark, Ralf ^a  

^a ÅBO AKADEMI UNIVERSITY   (Finland)

Author keywords

Genetic algorithms; International asset pricing; Multivariate EGARCH models; Nonlinearity

Indexed keywords

GENETIC ALGORITHMS; MAXIMUM LIKELIHOOD ESTIMATION; VECTORS;

HETEROSCEDASTIC VECTOR MODELS;

STATISTICAL METHODS;

GENETIC ALGORITHM;

EID: 0035965646     PISSN: 01679473     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0167-9473(01)00028-7     Document Type: Article

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