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  • Search: subject:"Generalized Autoregressive Score"
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Year of publication
Subject
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Zeitreihenanalyse 65 Time series analysis 63 Theorie 35 Theory 33 ARCH-Modell 32 Estimation theory 32 Schätztheorie 32 ARCH model 31 Forecasting model 29 Prognoseverfahren 29 Volatilität 26 Volatility 25 Estimation 21 Schätzung 21 generalized autoregressive score (GAS) 16 Risikomaß 15 Risk measure 15 Generalized autoregressive score 13 Portfolio selection 12 Portfolio-Management 12 Stochastischer Prozess 12 dynamic conditional score (DCS) 12 generalized autoregressive score 12 Capital income 11 Dynamic conditional score (DCS) 11 Kapitaleinkommen 11 Multivariate Verteilung 11 Multivariate distribution 11 Stochastic process 11 Risikomanagement 10 Risk management 10 generalized autoregressive score models 10 Börsenkurs 9 Share price 9 VAR model 9 VAR-Modell 9 Welt 9 World 9 generalized autoregressive score model 9 observation driven models 9
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Online availability
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Free 66 Undetermined 55 CC license 5
Type of publication
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Article 72 Book / Working Paper 49
Type of publication (narrower categories)
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Article in journal 69 Aufsatz in Zeitschrift 69 Working Paper 41 Arbeitspapier 25 Graue Literatur 25 Non-commercial literature 25 Article 3 Konferenzschrift 1
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Language
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English 113 Undetermined 8
Author
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Blazsek, Szabolcs 36 Lucas, André 22 Blasques, Francisco 17 Escribano, Álvaro 15 Koopman, Siem Jan 15 Licht, Adrian 11 Lucas, Andre 11 Opschoor, Anne 7 Schaumburg, Julia 7 Ayala, Astrid 6 Umlandt, Dennis 6 Zhang, Xin 6 Gretener, Alexander Georges 5 Neuenkirch, Matthias 5 Tomanová, Petra 5 Ayala, Astrid Loretta 4 Calvori, Francesco 4 Creal, Drew 4 Holý, Vladimír 4 Silde, Erkki 4 Bazzi, Marco 3 Ji, Jiangyu 3 Atoi, Ngozi V. 2 Bada, Abiodun S. 2 Chen, Rui 2 Dijk, Dick van 2 Dimitriadis, Timo 2 Enilov, Martin 2 Haddad, Michel Ferreira Cardia 2 Janus, Pawel 2 Janus, Paweł 2 Kong, Dejun 2 Kristof, Erzsebet 2 Lange, Rutger-Jan 2 Makatjane, Katleho 2 Nevrla, Matej 2 Patton, Andrew J. 2 Punder, Ramon de 2 Semeyutin, Artur 2 Shadoff, Samantha R. 2
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Institution
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Tinbergen Instituut 8
Published in...
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Discussion paper / Tinbergen Institute 13 Tinbergen Institute Discussion Paper 12 Applied economics 9 Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet 9 Tinbergen Institute Discussion Papers 8 Working paper 7 Finance research letters 5 Energy economics 4 International journal of forecasting 4 Applied economics letters 2 Econometrics : open access journal 2 Empirical economics : a quarterly journal of the Institute for Advanced Studies 2 Journal of business & economic statistics : JBES ; a publication of the American Statistical Association 2 Journal of econometrics 2 Journal of empirical finance 2 Macroeconomic dynamics 2 CBN Journal of Applied Statistics 1 CBN journal of applied statistics 1 CESifo Working Paper 1 CESifo working papers 1 Central European journal of operations research 1 Computational economics 1 Digital finance : smart data analytics, investment innovation, and financial technology 1 ERID working paper 1 Econometric reviews 1 Economic Research Initiatives at Duke (ERID) Working Paper 1 Economic modelling 1 Economic systems 1 Economics letters 1 Economies 1 Economies : open access journal 1 Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria 1 Financial markets and portfolio management 1 IES Working Paper 1 IES working paper 1 International Journal of Financial Studies 1 International Journal of Financial Studies : open access journal 1 International review of financial analysis 1 Journal of Asian economics 1 Journal of applied econometrics 1
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Source
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ECONIS (ZBW) 94 EconStor 19 RePEc 8
Showing 1 - 10 of 121
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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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Dynamic mixture vector autoregressions with score-driven weights
Gretener, Alexander Georges; Neuenkirch, Matthias; … - In: Journal of applied econometrics 40 (2025) 4, pp. 455-470
Persistent link: https://www.econbiz.de/10015463303
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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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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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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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Accelerating peak dating in a dynamic factor Markov-switching model
Os, Bram van; Dijk, Dick van - In: International journal of forecasting 40 (2024) 1, pp. 313-323
Persistent link: https://www.econbiz.de/10014450273
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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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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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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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