Comparison of score-driven equity-gold portfolios during the COVID-19 pandemic using model confidence sets
Astrid Ayala, Szabolcs Blazsek and Adrian Licht
| Year of publication: |
2023
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|---|---|
| Authors: | Ayala, Astrid ; Blazsek, Szabolcs ; Licht, Adrian |
| Published in: |
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet. - Berlin : De Gruyter, ISSN 1558-3708, ZDB-ID 1385261-9. - Vol. 27.2023, 5, p. 705-731
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| Subject: | dynamic conditional score (DCS) models | equity-gold portfolios | generalized autoregressive score (GAS) models | model confidence set (MCS) | score-driven copulas | Portfolio-Management | Portfolio selection | Coronavirus | Multivariate Verteilung | Multivariate distribution | Prognoseverfahren | Forecasting model | Modellierung | Scientific modelling | Zeitreihenanalyse | Time series analysis | Bootstrap-Verfahren | Bootstrap approach | Schätztheorie | Estimation theory |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1515/snde-2022-0107 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014506866