Score-driven location plus scale models : asymptotic theory and an application to forecasting Dow Jones volatility
Szabolcs Blazsek, Alvaro Escribano and Adrian Licht
| Year of publication: |
2024
|
|---|---|
| Authors: | Blazsek, Szabolcs ; Escribano, Álvaro ; 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. 28.2024, 1, p. 61-82
|
| Subject: | dynamic conditional score (DCS) | expected return | generalized autoregressive score (GAS) | maximum likelihood (ML) conditions for score-driven models | volatility forecasting | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Zeitreihenanalyse | Time series analysis | ARCH-Modell | ARCH model | Schätztheorie | Estimation theory | Aktienindex | Stock index |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1515/snde-2021-0083 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014506888