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~person:"Escribano, Álvaro"
~person:"Flandoli, Franco"
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Search: subject:"score driven models"
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Time series analysis
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Escribano, Álvaro
Flandoli, Franco
Petrella, Ivan
15
Delle Monache, Davide
12
Koopman, Siem Jan
11
Lucas, André
10
Blasques, Francisco
7
Gorgi, Paolo
5
Lit, Rutger
5
Venditti, Fabrizio
5
Catania, Leopoldo
4
Koopman, Siem Jan S.J.
4
Angelini, Giovanni
3
Blazsek, Szabolcs
3
Buccheri, Giuseppe
3
Licht, Adrian
3
Luati, Alessandra
3
Monache, Davide Delle
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Beutner, Eric A.
2
Blasques, F.
2
Blasques, Francisco F.
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Borenstein, Denis
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Corsi, Fulvio
2
De Polis, Andrea
2
Fernandes, Cristiano Augusto Coelho
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Herrera, Rodrigo
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Lasak, Katarzyna
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Lin, Yicong
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Lucas, Andre
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Łasak, Katarzyna
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Clements, Adam
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D'Innocenzo, Enzo
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Francq, Christian
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Fuentes, Fernanda
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Gaete, Michael
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Gorgi, P.
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Grassi, Stefano
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Hoeltgebaum, Henrique
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
2
Journal of econometrics
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ECONIS (ZBW)
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1
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:
2
Nonlinear common trends for the global crude oil market : Markov-switching
score-driven
models
of the multivariate t-distribution
Blazsek, Szabolcs
;
Escribano, Álvaro
;
Licht, Adrian
-
2020
Persistent link: https://www.econbiz.de/10012221928
Saved in:
3
Multivariate Markov-switching
score-driven
models
: an application to the global crude oil market
Blazsek, Szabolcs
;
Escribano, Álvaro
;
Licht, Adrian
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
26
(
2022
)
3
,
pp. 313-335
Persistent link: https://www.econbiz.de/10013334746
Saved in:
4
The continuous-time limit of score-driven volatility models
Buccheri, Giuseppe
;
Corsi, Fulvio
;
Flandoli, Franco
; …
- In:
Journal of econometrics
221
(
2021
)
2
,
pp. 655-675
Persistent link: https://www.econbiz.de/10012619254
Saved in:
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