Dynamic conditional score models of degrees of freedom : filtering with score-driven heavy tails
Szabolcs Blazsek and Luis Antonio Monteros
| Year of publication: |
November 2017
|
|---|---|
| Authors: | Blazsek, Szabolcs ; Monteros, Luis Antonio |
| Published in: |
Applied economics. - Abingdon : Routledge, ISSN 0003-6846, ZDB-ID 280176-0. - Vol. 49.2017, 53, p. 5426-5440
|
| Subject: | Dynamic conditional score models | quasi-AR | Beta-t-EGARCH | score-driven degrees of freedom | time-varying heavy tails | out-of-sample density forecasts | Monte Carlo value-at-risk | Statistische Verteilung | Statistical distribution | Prognoseverfahren | Forecasting model | Monte-Carlo-Simulation | Monte Carlo simulation | Zeitreihenanalyse | Time series analysis | Risikomaß | Risk measure | Theorie | Theory | ARCH-Modell | ARCH model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/00036846.2017.1307935 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011845187