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
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| Authors: | Ayala, Astrid Loretta ; Blazsek, Szabolcs ; Licht, Adrian |
| Published in: |
Applied economics. - New York, NY : Routledge, ISSN 1466-4283, ZDB-ID 1473581-7. - Vol. 56.2024, 31, p. 3684-3697
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| 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 |
| Type of publication: | Article |
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| 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