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~subject:"Theorie"
~type_genre:"Aufsatz in Zeitschrift"
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Search: subject:"score driven models"
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Theorie
Time series analysis
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Score-driven models
11
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score-driven models
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Score driven models
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Catania, Leopoldo
3
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2
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2
Luati, Alessandra
2
Petrella, Ivan
2
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1
Borenstein, Denis
1
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1
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1
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1
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ECONIS (ZBW)
11
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1
Semiparametric modeling of multiple quantiles
Catania, Leopoldo
;
Luati, Alessandra
- In:
Journal of econometrics
237
(
2023
)
2,2
,
pp. 1-16
Persistent link: https://www.econbiz.de/10014471520
Saved in:
2
Diversification benefits of commodities in portfolio allocation : a dynamic factor copula approach
Gaete, Michael
;
Herrera, Rodrigo
- In:
Journal of commodity markets
32
(
2023
),
pp. 1-21
Persistent link: https://www.econbiz.de/10014495646
Saved in:
3
Quasi
score-driven
models
Blasques, F.
;
Francq, Christian
;
Laurent, Sébastien
- In:
Journal of econometrics
234
(
2023
)
1
,
pp. 251-275
Persistent link: https://www.econbiz.de/10014364807
Saved in:
4
Forecasting extreme financial risk : a score-driven approach
Fuentes, Fernanda
;
Herrera, Rodrigo
;
Clements, Adam
- In:
International journal of forecasting
39
(
2023
)
2
,
pp. 720-735
Persistent link: https://www.econbiz.de/10014465107
Saved in:
5
Lumpy and intermittent retail demand forecasts with
score-driven
models
Sarlo, Rodrigo
;
Fernandes, Cristiano Augusto Coelho
; …
- In:
European journal of operational research : EJOR
307
(
2023
)
3
,
pp. 1146-1160
Persistent link: https://www.econbiz.de/10014282952
Saved in:
6
A robust score-driven filter for multivariate time series
D'Innocenzo, Enzo
;
Luati, Alessandra
;
Mazzocchi, Mario
- In:
Econometric reviews
42
(
2023
)
5
,
pp. 441-470
Persistent link: https://www.econbiz.de/10014305555
Saved in:
7
Price dividend ratio and long-run stock returns : a score-driven state space model
Delle Monache, Davide
;
Petrella, Ivan
;
Venditti, Fabrizio
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
4
,
pp. 1054-1065
Persistent link: https://www.econbiz.de/10012653225
Saved in:
8
Dynamic adaptive mixture models with an application to volatility and risk
Catania, Leopoldo
- In:
Journal of financial econometrics
19
(
2021
)
4
,
pp. 531-564
Persistent link: https://www.econbiz.de/10012654970
Saved in:
9
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:
10
Forecasting volatility with time-varying leverage and volatility of volatility effects
Catania, Leopoldo
;
Proietti, Tommaso
- In:
International journal of forecasting
36
(
2020
)
4
,
pp. 1301-1317
Persistent link: https://www.econbiz.de/10012546666
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