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~subject:"generalized autoregressive score (GAS)"
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generalized autoregressive score (GAS)
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Blazsek, Szabolcs
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Licht, Adrian
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
3
Applied economics
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ECONIS (ZBW)
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Anticipating extreme losses using score-driven shape filters
Ayala, Astrid
;
Blazsek, Szabolcs
;
Escribano, Álvaro
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
4
,
pp. 449-484
Persistent link: https://www.econbiz.de/10014372905
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2
Co-integration with score-driven models : an application to US real GDP growth, US inflation rate, and effective federal funds rate
Blazsek, Szabolcs
;
Escribano, Álvaro
;
Licht, Adrian
- In:
Macroeconomic dynamics
27
(
2023
)
1
,
pp. 203-223
Persistent link: https://www.econbiz.de/10014247362
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3
Score-driven location plus scale models : asymptotic theory and an application to forecasting Dow Jones volatility
Blazsek, Szabolcs
;
Escribano, Álvaro
;
Licht, Adrian
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
28
(
2024
)
1
,
pp. 61-82
Persistent link: https://www.econbiz.de/10014506888
Saved in:
4
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:
5
Conservatorship, quantitative easing, and mortgage spreads : a new multi-equation score-driven model of policy actions
Blazsek, Szabolcs
;
Blazsek, Virág
;
Kobor, Adam
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
2
,
pp. 237-264
Persistent link: https://www.econbiz.de/10014288896
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