Event-study analysis by using dynamic conditional score models
Szabolcs Blazsek and Luis Antonio Monteros
| Year of publication: |
September 2017
|
|---|---|
| Authors: | Blazsek, Szabolcs ; Monteros, Luis Antonio |
| Published in: |
Applied economics. - Abingdon : Routledge, ISSN 0003-6846, ZDB-ID 280176-0. - Vol. 49.2017, 45, p. 4530-4541
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| Subject: | dynamic conditional score (DCS) models | event-study analysis | quasi-ARMA (QARMA) | Beta-t-EGARCH | density forecasts | value-at-risk | Prognoseverfahren | Forecasting model | Risikomaß | Risk measure | ARCH-Modell | ARCH model | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/00036846.2017.1284996 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011844230