Comparison of score-driven equity-gold portfolios during the COVID-19 pandemic using model confidence sets
Year of publication: |
2023
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Authors: | Ayala, Astrid ; Blazsek, Szabolcs ; Licht, Adrian |
Published in: |
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet. - Berlin : De Gruyter, ISSN 1558-3708, ZDB-ID 1385261-9. - Vol. 27.2023, 5, p. 705-731
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Subject: | dynamic conditional score (DCS) models | equity-gold portfolios | generalized autoregressive score (GAS) models | model confidence set (MCS) | score-driven copulas | Portfolio-Management | Portfolio selection | Coronavirus | Modellierung | Scientific modelling | Theorie | Theory | Prognoseverfahren | Forecasting model | Multivariate Verteilung | Multivariate distribution | Zeitreihenanalyse | Time series analysis |
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