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subject:"Sampling"
subject:"Stichprobenerhebung"
~accessRights:"restricted"
~person:"Blazsek, Szabolcs"
~subject:"ARCH model"
~subject:"Momentenmethode"
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Sampling
Stichprobenerhebung
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Beta-t-EGARCH (exponential generalized autoregressive conditional heteroscedasticity) model
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generalized autoregressive score (GAS)
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quasi-autoregressive (QAR) model
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Aktienindex
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dynamic conditional score (DCS)
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expected return
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maximum likelihood (ML) conditions for score-driven models
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scaling parameters of the conditional score function
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Blazsek, Szabolcs
Francq, Christian
9
Kumar, Dilip
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Lee, Lung-fei
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Jin, Fei
7
Ardia, David
6
Hsiao, Cheng
5
Sucarrat, Genaro
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Yu, Jihai
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Zakoïan, Jean-Michel
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Zhang, Xinyu
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Escanciano, Juan Carlos
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Lütkepohl, Helmut
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Zhou, Qiankun
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Andrews, Donald W. K.
3
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Antoine, Bertille
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Bauwens, Luc
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Bera, Anil K.
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Carnero, M. Angeles
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Chen, Xiaohong
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Dovonon, Prosper
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Dufour, Jean-Marie
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Applied economics
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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ECONIS (ZBW)
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Score-driven location plus scale models : asymptotic theory and an application to forecasting Dow Jones volatility
Blazsek, Szabolcs
;
Escribano, Álvaro
;
Licht, Adrian
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
28
(
2024
)
1
,
pp. 61-82
Persistent link: https://www.econbiz.de/10014506888
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2
Score function scaling for QAR plus Beta-t-EGARCH : an empirical application to the S&P 500
Ayala, Astrid Loretta
;
Blazsek, Szabolcs
;
Licht, Adrian
- In:
Applied economics
56
(
2024
)
31
,
pp. 3684-3697
Persistent link: https://www.econbiz.de/10014528626
Saved in:
3
Dynamic conditional score models : a review of their applications
Blazsek, Szabolcs
;
Licht, Adrian
- In:
Applied economics
52
(
2020
)
11
,
pp. 1181-1199
Persistent link: https://www.econbiz.de/10012197522
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