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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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Dynamic conditional score models : a review of their applications
Blazsek, Szabolcs; Licht, Adrian - In: Applied economics 52 (2020) 11, pp. 1181-1199
Persistent link: https://www.econbiz.de/10012197522
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Dynamic conditional score models of degrees of freedom : filtering with score-driven heavy tails
Blazsek, Szabolcs; Monteros, Luis Antonio - In: Applied economics 49 (2017) 53, pp. 5426-5440
Persistent link: https://www.econbiz.de/10011845187
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Score function scaling for QAR plus Beta-t-EGARCH : an empirical application to the S&P 500
Ayala, Astrid Loretta; Blazsek, Szabolcs; Licht, Adrian - In: Applied economics 56 (2024) 31, pp. 3684-3697
Persistent link: https://www.econbiz.de/10014528626