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~person:"Blazsek, Szabolcs"
~subject:"Germany"
~subject:"Prognoseverfahren"
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Search: subject_exact:"GARCH model"
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Germany
Prognoseverfahren
ARCH model
14
ARCH-Modell
14
Forecasting model
10
Time series analysis
9
Zeitreihenanalyse
9
Volatility
6
Volatilität
6
Estimation
5
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4
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4
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4
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Aktienindex
3
Beta-t-EGARCH
3
Dynamic conditional score (DCS) models
3
Estimation theory
3
Markov chain
3
Markov-Kette
3
Schätztheorie
3
Stock index
3
generalized autoregressive score (GAS)
3
Beta-t-EGARCH (exponential generalized autoregressive conditional heteroscedasticity) model
2
Börsenkurs
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Dynamic conditional score (DCS)
2
Risiko
2
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Share price
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VAR model
2
VAR-Modell
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density forecasts
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dynamic conditional score
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dynamic conditional score (DCS)
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generalized autoregressive score
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quasi-autoregressive (QAR) model
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Blazsek, Szabolcs
Ma, Feng
61
Gupta, Rangan
50
Zhang, Yaojie
33
McAleer, Michael
28
Liang, Chao
23
Caporin, Massimiliano
20
Wang, Yudong
20
Wei, Yu
19
Degiannakis, Stavros
17
Bouri, Elie
15
Kumar, Dilip
15
Molnár, Peter
15
Ardia, David
13
Chen, Cathy W. S.
13
Herwartz, Helmut
13
Paolella, Marc S.
13
Wu, Xinyu
13
Laurent, Sébastien
12
Lu, Xinjie
12
Nonejad, Nima
12
Salisu, Afees A.
12
Wang, Jiqian
12
Ñíguez, Trino-Manuel
12
Catania, Leopoldo
11
Engle, Robert F.
11
Liu, Jing
11
Lux, Thomas
11
Mittnik, Stefan
11
Wang, Lu
11
Degiannakis, Stavros Antonios
10
Li, Yan
10
Polasek, Wolfgang
10
Trojani, Fabio
10
Wahab, M. I. M.
10
Audrino, Francesco
9
Barigozzi, Matteo
9
Chlebus, Marcin
9
Hallin, Marc
9
He, Mengxi
9
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Applied economics
4
Applied economics letters
1
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
1
Financial markets and portfolio management
1
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
1
The European journal of finance
1
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ECONIS (ZBW)
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1
The two-component Beta-t-QVAR-M-lev : a new forecasting model
Haddad, Michel Ferreira Cardia
;
Blazsek, Szabolcs
; …
- In:
Financial markets and portfolio management
37
(
2023
)
4
,
pp. 379-401
Persistent link: https://www.econbiz.de/10014420497
Saved in:
2
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
Saved in:
3
Prediction accuracy of bivariate score-driven risk premium and volatility filters : an illustration for the Dow Jones
Blazsek, Szabolcs
;
Escribano, Álvaro
;
Licht, Adrian
-
2020
Persistent link: https://www.econbiz.de/10012310604
Saved in:
4
Prediction accuracy of volatility using the score-driven Meixner distribution : an application to the Dow Jones
Blazsek, Szabolcs
;
Licht, Adrian
- In:
Applied economics letters
29
(
2022
)
2
,
pp. 111-117
Persistent link: https://www.econbiz.de/10012803390
Saved in:
5
Score-driven Markov-switching EGARCH models : an application to systematic risk analysis
Blazsek, Szabolcs
;
Ho, Han-Chiang
;
Liu, Su-Ping
- In:
Applied economics
50
(
2018
)
56
,
pp. 6047-6060
Persistent link: https://www.econbiz.de/10012063386
Saved in:
6
Analysis of electricity prices for Central American countries using dynamic conditional score models
Blazsek, Szabolcs
;
Hernández, Hector
- In:
Empirical economics : a journal of the Institute for …
55
(
2018
)
4
,
pp. 1807-1848
Persistent link: https://www.econbiz.de/10011950337
Saved in:
7
Event-study analysis by using dynamic conditional score models
Blazsek, Szabolcs
;
Monteros, Luis Antonio
- In:
Applied economics
49
(
2017
)
45
,
pp. 4530-4541
Persistent link: https://www.econbiz.de/10011844230
Saved in:
8
Dynamic conditional score models of degrees of freedom : filtering with score-driven heavy tails
Blazsek, Szabolcs
;
Monteros, Luis Antonio
- In:
Applied economics
49
(
2017
)
53
,
pp. 5426-5440
Persistent link: https://www.econbiz.de/10011845187
Saved in:
9
Is Beta-t-EGARCH(1,1) superior to GARCH(1,1)?
Blazsek, Szabolcs
;
Villatoro, Marco
- In:
Applied economics
47
(
2015
)
16/18
,
pp. 1764-1774
Persistent link: https://www.econbiz.de/10010511965
Saved in:
10
Forecasting hedge fund volatility : a Markov regime-switching approach
Blazsek, Szabolcs
;
Downarowicz, Anna
- In:
The European journal of finance
19
(
2013
)
3/4
,
pp. 243-275
Persistent link: https://www.econbiz.de/10010243653
Saved in:
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