Non-Gaussian score-driven conditionally heteroskedastic models with a macroeconomic application

Szabolcs Blazsek, Álvaro Escribano, and Adrián Licht

Year of publication:	2024
Authors:	Blazsek, Szabolcs ; Escribano, Álvaro ; Licht, Adrián
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

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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

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