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subject:"Time series analysis"
~isPartOf:"Applied economics"
~isPartOf:"International review of financial analysis"
~person:"Licht, Adrian"
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Search: subject_exact:"ARCH-Modell"
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Time series analysis
ARCH model
2
ARCH-Modell
2
Beta-t-EGARCH (exponential generalized autoregressive conditional heteroscedasticity) model
2
Estimation theory
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Schätztheorie
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quasi-autoregressive (QAR) model
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Dynamic conditional score (DCS)
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Dynamic conditional score (DCS) models
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generalized autoregressive score (GAS)
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quasi-vector autoregressive (QVAR) model
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scaling parameters of the conditional score function
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score-driven seasonality
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Licht, Adrian
Blazsek, Szabolcs
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Kim, Jong-Min
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Hwang, Sun Young
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Abuzayed, Bana
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Albulescu, Claudiu Tiberiu
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Applied economics
International review of financial analysis
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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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
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2
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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