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isPartOf:"Applied economics"
~person:"Blazsek, Szabolcs"
~person:"Li, Ye"
~subject:"ARCH model"
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ARCH model
Time series analysis
5
Zeitreihenanalyse
5
ARCH-Modell
4
Beta-t-EGARCH (exponential generalized autoregressive conditional heteroscedasticity) model
2
Estimation theory
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quasi-autoregressive (QAR) model
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Beta-t-EGARCH
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Dynamic conditional score (DCS) models
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Dynamic conditional score models
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India
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Indian rupee to USD (INR/USD) exchange rate
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dynamic conditional score (DCS) models
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forecasting
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generalized autoregressive score (GAS)
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long-memory
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Blazsek, Szabolcs
Li, Ye
Kim, Jong-Min
3
Hwang, Sun Young
2
Licht, Adrian
2
Abuzayed, Bana
1
Al-Fayoumi, Nedal
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Albulescu, Claudiu Tiberiu
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Allen, David E.
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Charfeddine, Lanouar
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Costola, Michele
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Applied economics
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
3
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
1
Financial markets and portfolio management
1
Working paper
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Score function scaling for QAR plus Beta-t-EGARCH : an empirical application to the S&P 500
Ayala, Astrid Loretta
;
Blazsek, Szabolcs
;
Licht, Adrian
- In:
Applied economics
56
(
2024
)
31
,
pp. 3684-3697
Persistent link: https://www.econbiz.de/10014528626
Saved in:
2
Dynamic conditional score models : a review of their applications
Blazsek, Szabolcs
;
Licht, Adrian
- In:
Applied economics
52
(
2020
)
11
,
pp. 1181-1199
Persistent link: https://www.econbiz.de/10012197522
Saved in:
3
Modelling exchange rate volatility with random level shifts
Li, Ye
;
Perron, Pierre
;
Xu, Jiawen
- In:
Applied economics
49
(
2017
)
26
,
pp. 2579-2589
Persistent link: https://www.econbiz.de/10011819611
Saved in:
4
Dynamic conditional score models of degrees of freedom : filtering with score-driven heavy tails
Blazsek, Szabolcs
;
Monteros, Luis Antonio
- In:
Applied economics
49
(
2017
)
53
,
pp. 5426-5440
Persistent link: https://www.econbiz.de/10011845187
Saved in:
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