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~type_genre:"Aufsatz in Zeitschrift"
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Search: subject:"dynamic conditional score (DCS)"
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dynamic conditional score (DCS) models
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generalized autoregressive score (GAS)
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dynamic conditional score (DCS)
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generalized autoregressive score (GAS) models
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Blazsek, Szabolcs
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Ayala, Astrid
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Licht, Adrian
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Ayala, Astrid Loretta
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Blazsek, Virág
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Haddad, Michel Ferreira Cardia
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Applied economics
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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ECONIS (ZBW)
16
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1
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
Saved in:
2
The two-component Beta-t-QVAR-M-lev : a new forecasting model
Haddad, Michel Ferreira Cardia
;
Blazsek, Szabolcs
; …
- In:
Financial markets and portfolio management
37
(
2023
)
4
,
pp. 379-401
Persistent link: https://www.econbiz.de/10014420497
Saved in:
3
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
Saved in:
4
Score-driven cryptocurrency and equity portfolios
Blazsek, Szabolcs
;
Bowen, Richard
- In:
Applied economics
56
(
2024
)
18
,
pp. 2109-2128
Persistent link: https://www.econbiz.de/10014475283
Saved in:
5
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:
6
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:
7
Comparison of score-driven equity-gold portfolios during the COVID-19 pandemic using model confidence sets
Ayala, Astrid
;
Blazsek, Szabolcs
;
Licht, Adrian
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
5
,
pp. 705-731
Persistent link: https://www.econbiz.de/10014506866
Saved in:
8
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
Saved in:
9
Score-driven currency exchange rate seasonality as applied to the Guatemalan Quetzal/US Dollar
Ayala, Astrid
;
Blazsek, Szabolcs
- In:
SERIEs : Journal of the Spanish Economic Association
10
(
2019
)
1
,
pp. 65-92
In this paper we introduce new
Dynamic
Conditional
Score
(
DCS
) models for the Skew-Gen-t (Skewed Generalized t) and NIG …
Persistent link: https://www.econbiz.de/10012033379
Saved in:
10
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:
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