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~type_genre:"Aufsatz in Zeitschrift"
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Search: subject:"score driven models"
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Time series analysis
13
Zeitreihenanalyse
13
Score-driven models
11
Theorie
11
Theory
11
Forecasting model
10
Prognoseverfahren
10
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9
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score-driven models
4
Modellierung
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Score driven models
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Undetermined
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Aufsatz in Zeitschrift
Working Paper
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19
Graue Literatur
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19
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English
19
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Buccheri, Giuseppe
3
Catania, Leopoldo
3
Blasques, F.
2
Blazsek, Szabolcs
2
Borenstein, Denis
2
Corsi, Fulvio
2
Delle Monache, Davide
2
Escribano, Álvaro
2
Fernandes, Cristiano Augusto Coelho
2
Herrera, Rodrigo
2
Koopman, Siem Jan
2
Licht, Adrian
2
Luati, Alessandra
2
Petrella, Ivan
2
Angelini, Giovanni
1
Blasques, Francisco
1
Clements, Adam
1
D'Innocenzo, Enzo
1
Flandoli, Franco
1
Francq, Christian
1
Fuentes, Fernanda
1
Gaete, Michael
1
Gorgi, P.
1
Gorgi, Paolo
1
Grassi, Stefano
1
Hoeltgebaum, Henrique
1
Laurent, Sébastien
1
Livieri, Giulia
1
Lucas, André
1
Mazzocchi, Mario
1
Proietti, Tommaso
1
Sarlo, Rodrigo
1
Vassallo, Danilo
1
Veiga, Alvaro
1
Venditti, Fabrizio
1
Vocalelli, Giorgio
1
Łasak, Katarzyna
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International journal of forecasting
5
Journal of econometrics
4
Journal of financial econometrics
2
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
2
Econometric reviews
1
Economics letters
1
European journal of operational research : EJOR
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Journal of commodity markets
1
Journal of retailing
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ECONIS (ZBW)
19
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1
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:
2
Estimating risk in illiquid markets : a model of market friction with stochastic volatility
Buccheri, Giuseppe
;
Grassi, Stefano
;
Vocalelli, Giorgio
- In:
Journal of financial econometrics
22
(
2024
)
2
,
pp. 531-574
Persistent link: https://www.econbiz.de/10014526336
Saved in:
3
Semiparametric modeling of multiple quantiles
Catania, Leopoldo
;
Luati, Alessandra
- In:
Journal of econometrics
237
(
2023
)
2,2
,
pp. 1-16
Persistent link: https://www.econbiz.de/10014471520
Saved in:
4
Diversification benefits of commodities in portfolio allocation : a dynamic factor copula approach
Gaete, Michael
;
Herrera, Rodrigo
- In:
Journal of commodity markets
32
(
2023
),
pp. 1-21
Persistent link: https://www.econbiz.de/10014495646
Saved in:
5
Quasi
score-driven
models
Blasques, F.
;
Francq, Christian
;
Laurent, Sébastien
- In:
Journal of econometrics
234
(
2023
)
1
,
pp. 251-275
Persistent link: https://www.econbiz.de/10014364807
Saved in:
6
Forecasting extreme financial risk : a score-driven approach
Fuentes, Fernanda
;
Herrera, Rodrigo
;
Clements, Adam
- In:
International journal of forecasting
39
(
2023
)
2
,
pp. 720-735
Persistent link: https://www.econbiz.de/10014465107
Saved in:
7
Lumpy and intermittent retail demand forecasts with
score-driven
models
Sarlo, Rodrigo
;
Fernandes, Cristiano Augusto Coelho
; …
- In:
European journal of operational research : EJOR
307
(
2023
)
3
,
pp. 1146-1160
Persistent link: https://www.econbiz.de/10014282952
Saved in:
8
A robust score-driven filter for multivariate time series
D'Innocenzo, Enzo
;
Luati, Alessandra
;
Mazzocchi, Mario
- In:
Econometric reviews
42
(
2023
)
5
,
pp. 441-470
Persistent link: https://www.econbiz.de/10014305555
Saved in:
9
Multivariate Markov-switching
score-driven
models
: an application to the global crude oil market
Blazsek, Szabolcs
;
Escribano, Álvaro
;
Licht, Adrian
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
26
(
2022
)
3
,
pp. 313-335
Persistent link: https://www.econbiz.de/10013334746
Saved in:
10
A DCC-type approach for realized covariance modeling with score-driven dynamics
Vassallo, Danilo
;
Buccheri, Giuseppe
;
Corsi, Fulvio
- In:
International journal of forecasting
37
(
2021
)
2
,
pp. 569-586
Persistent link: https://www.econbiz.de/10012792854
Saved in:
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