Volatility forecasting using quasi-score-driven models with an application to the coronavirus pandemic period
Astrid Ayala, Szabolcs Blazsek and Adrian Licht
| Year of publication: |
2024
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| Authors: | Ayala, Astrid ; Blazsek, Szabolcs ; 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, 5, p. 785-805
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| Subject: | coronavirus disease 2019 (COVID-19) pandemic | dynamic conditional score (DCS) model | generalized autoregressive score (GAS) model | quasi-score-driven models | Coronavirus | Epidemie | Epidemic | Prognoseverfahren | Forecasting model | Volatilität | Volatility | ARCH-Modell | ARCH model | Modellierung | Scientific modelling |
| Type of publication: | Article |
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| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1515/snde-2022-0085 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015437662