Score function scaling for QAR plus Beta-t-EGARCH : an empirical application to the S&P 500

Astrid Loretta Ayala, Szabolcs Blazsek and Adrian Licht

Year of publication:	2024
Authors:	Ayala, Astrid Loretta ; Blazsek, Szabolcs ; Licht, Adrian
Subject:	Dynamic conditional score (DCS) \| generalized autoregressive score (GAS) \| scaling parameters of the conditional score function \| quasi-autoregressive (QAR) model \| Beta-t-EGARCH (exponential generalized autoregressive conditional heteroscedasticity) model \| Schätztheorie \| Estimation theory \| ARCH-Modell \| ARCH model \| Zeitreihenanalyse \| Time series analysis \| Schätzung \| Estimation

Online Resource

Check full text access |

More access options

doi.org

Check Google Scholar

Type of publication:	Article
Type of publication (narrower categories):	Aufsatz in Zeitschrift ; Article in journal
Language:	English
Other identifiers:	10.1080/00036846.2023.2208335 [DOI]
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10014528626

A service of the