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~subject:"Volatilität"
~type_genre:"Aufsatz in Zeitschrift"
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Search: subject:"dynamic conditional score (DCS)"
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dynamic conditional score (DCS) models
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dynamic conditional score (DCS)
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Blazsek, Szabolcs
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Ayala, Astrid
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Applied economics
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SERIEs : Journal of the Spanish Economic Association
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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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
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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
Score-driven currency exchange rate seasonality as applied to the Guatemalan Quetzal/US Dollar
Ayala, Astrid
;
Blazsek, Szabolcs
- In:
SERIEs : Journal of the Spanish Economic Association
10
(
2019
)
1
,
pp. 65-92
In this paper we introduce new
Dynamic
Conditional
Score
(
DCS
) models for the Skew-Gen-t (Skewed Generalized t) and NIG …
Persistent link: https://www.econbiz.de/10012033379
Saved in:
4
Score-driven models of stochastic seasonality in location and scale : an application case study of the Indian rupee to USD exchange rate
Ayala, Astrid
;
Blazsek, Szabolcs
- In:
Applied economics
51
(
2019
)
37
,
pp. 4083-4103
Persistent link: https://www.econbiz.de/10012196964
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