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  • Search: subject:"Dynamic conditional score"
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Year of publication
Subject
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Time series analysis 41 Zeitreihenanalyse 41 ARCH model 21 ARCH-Modell 21 Forecasting model 21 Prognoseverfahren 21 Theorie 21 Theory 21 Estimation theory 20 Schätztheorie 20 Volatility 16 Volatilität 16 generalized autoregressive score (GAS) 16 Dynamic conditional score (DCS) 12 dynamic conditional score (DCS) 12 Dynamic conditional score 10 Estimation 10 Schätzung 10 Climate change 9 Klimawandel 9 Markov chain 8 Markov-Kette 8 Generalized autoregressive score (GAS) 7 Welt 7 World 7 Portfolio selection 6 Portfolio-Management 6 Statistical distribution 6 Statistische Verteilung 6 USA 6 United States 6 dynamic conditional score (DCS) models 6 Aktienindex 5 Aktienmarkt 5 Beta-t-EGARCH 5 Climate protection 5 Coronavirus 5 Klimaschutz 5 Panel 5 Panel study 5
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Online availability
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Undetermined 39 Free 30 CC license 2
Type of publication
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Article 52 Book / Working Paper 18
Type of publication (narrower categories)
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Article in journal 53 Aufsatz in Zeitschrift 53 Working Paper 15 Arbeitspapier 13 Graue Literatur 13 Non-commercial literature 13 Article 1
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Language
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English 69 Undetermined 1
Author
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Blazsek, Szabolcs 52 Escribano, Álvaro 18 Ayala, Astrid 13 Licht, Adrian 12 Harvey, Andrew C. 7 Ayala, Astrid Loretta 4 Lange, Rutger-Jan 4 Thiele, Stephen 4 Dimitriadis, Timo 2 Haddad, Michel Ferreira Cardia 2 Ho, Han-Chiang 2 Hurn, Stan 2 Kong, Dejun 2 Kristof, Erzsebet 2 Kristóf, Erzsébet 2 Liu, Su-Ping 2 Monteros, Luis Antonio 2 Punder, Ramon de 2 Shadoff, Samantha R. 2 Arestis, Philip 1 Bernardi, Mauro 1 Blazsek, Virág 1 Bowen, Richard 1 Catania, Leopoldo 1 Chavez, Helmuth 1 Cuñado Eizaguirre, Juncal 1 Dos Santos, William M. 1 Edwards, Andreco S. 1 Fuerst, Franz 1 Gil-Alaña, Luis A. 1 Goirigolzarri, Diego 1 Hall, Morgan 1 Harvey, Andrew 1 Hernández, Hector 1 Ito, Ryoko 1 Jörding, August 1 Kamau, Ari S. 1 Kobor, Adam 1 Kurosaki, Tetsuo 1 Lambert, Charles 1
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Institution
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Faculty of Economics, University of Cambridge 1
Published in...
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Applied economics 17 Working paper 9 Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet 8 Cambridge working papers in economics 4 Applied economics letters 3 Energy economics 3 Discussion paper / Tinbergen Institute 2 Econometrics : open access journal 2 Journal of econometrics 2 Journal of empirical finance 2 Macroeconomic dynamics 2 Cambridge Working Papers in Economics 1 Computational economics 1 Economics letters 1 Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria 1 Empirical economics : a quarterly journal of the Institute for Advanced Studies 1 Equilibrium : quarterly journal of economics and economic policy 1 Finance research letters 1 Financial markets and portfolio management 1 Institute of Economic Research Working Papers 1 International review of financial analysis 1 Quantitative finance 1 Revista Brasileira de Finanças : RBFin 1 SERIEs - Journal of the Spanish Economic Association 1 SERIEs : Journal of the Spanish Economic Association 1 The European journal of finance 1 Tinbergen Institute Discussion Paper 1
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Source
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ECONIS (ZBW) 66 EconStor 3 RePEc 1
Showing 1 - 10 of 70
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Score-driven global climate zones from 1940 to 2024 : a new objective climate classification method
Blazsek, Szabolcs; Escribano, Álvaro; Kristóf, Erzsébet - In: Energy economics 156 (2026), pp. 1-24
Persistent link: https://www.econbiz.de/10015635003
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Proper and Robust Autoregressive Derivative Adaptive models
Punder, Ramon de - 2026
This paper introduces the class of Proper and Robust Autoregressive Derivative Adaptive (PRADA) models, extending score-driven updates beyond the logarithmic scoring rule to all strictly proper and locally proper scoring rules and strictly consistent scoring functions. PRADA updates reduce an...
Persistent link: https://www.econbiz.de/10015644878
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Improved gradient scaling for score-driven filters with an application to stock market volatility
Blazsek, Szabolcs; Escribano, Álvaro; Ayala, Astrid - 2025
Persistent link: https://www.econbiz.de/10015396160
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Modelling circular time series
Harvey, Andrew C.; Hurn, Stan; Palumbo, Dario; Thiele, … - In: Journal of econometrics 239 (2024) 1, pp. 1-15
Persistent link: https://www.econbiz.de/10015073958
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Non-Gaussian score-driven conditionally heteroskedastic models with a macroeconomic application
Blazsek, Szabolcs; Escribano, Álvaro; Licht, Adrián - In: Macroeconomic dynamics 28 (2024) 1, pp. 32-50
Persistent link: https://www.econbiz.de/10014465380
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Score-driven global climate zones from 1940 to 2024 : a new objective climate classification method
Blazsek, Szabolcs; Escribano, Álvaro; Kristóf, Erzsébet - 2025
Persistent link: https://www.econbiz.de/10015553095
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Global, Arctic, and Antarctic sea ice volume predictions : using score-driven threshold climate models
Blazsek, Szabolcs; Escribano, Álvaro; Kristof, Erzsebet - 2024
Persistent link: https://www.econbiz.de/10014517265
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Score-driven interactions for "disease x" using covid and non-covid mortality
Blazsek, Szabolcs; Dos Santos, William M.; Edwards, … - In: Econometrics : open access journal 12 (2024) 3, pp. 1-24
The COVID-19 (coronavirus disease of 2019) pandemic is over; however, the probability of such a pandemic is about 2% in any year. There are international negotiations among almost 200 countries at the World Health Organization (WHO) concerning a global plan to deal with the next pandemic on the...
Persistent link: https://www.econbiz.de/10015133930
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Anthropogenic effects of climate change : further evidence from a fractionally integrated ice-age model
Blazsek, Szabolcs; Escribano, Álvaro; Licht, Adrian - 2024
Persistent link: https://www.econbiz.de/10015110731
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New score-driven scale and shape interactions : an application to international stock indices
Blazsek, Szabolcs; Hall, Morgan - In: Applied economics 58 (2026) 2, pp. 293-313
Persistent link: https://www.econbiz.de/10015633524
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