Non-Gaussian score-driven conditionally heteroskedastic models with a macroeconomic application
Szabolcs Blazsek, Álvaro Escribano, and Adrián Licht
| Year of publication: |
2024
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| Authors: | Blazsek, Szabolcs ; Escribano, Álvaro ; Licht, Adrián |
| Published in: |
Macroeconomic dynamics. - Cambridge : Cambridge Univ. Press, ISSN 1469-8056, ZDB-ID 1501533-6. - Vol. 28.2024, 1, p. 32-50
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| Subject: | Dynamic conditional score | generalized autoregressive score | heteroskedastic score-driven t-QVAR model | Maximum likelihood | score-driven location plus score-driven scale models | Zeitreihenanalyse | Time series analysis | Heteroskedastizität | Heteroscedasticity | Maximum-Likelihood-Schätzung | Maximum likelihood estimation | Schätztheorie | Estimation theory | ARCH-Modell | ARCH model | VAR-Modell | VAR model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1017/S1365100522000712 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014465380