Dynamic conditional score models : a review of their applications
Year of publication: |
2020
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Authors: | Blazsek, Szabolcs ; Licht, Adrian |
Published in: |
Applied economics. - New York, NY : Routledge, ISSN 1466-4283, ZDB-ID 1473581-7. - Vol. 52.2020, 11, p. 1181-1199
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Subject: | Beta-t-EGARCH (exponential generalized autoregressive conditional heteroscedasticity) model | Dynamic conditional score (DCS) models | quasi-autoregressive (QAR) model | quasi-vector autoregressive (QVAR) model | score-driven seasonality | Zeitreihenanalyse | Time series analysis | Schätztheorie | Estimation theory | ARCH-Modell | ARCH model |
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