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~isPartOf:"Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet"
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score-driven models
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markov regime-switching models
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maximum likelihood (ML) conditions for score-driven models
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multivariate models
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Blazsek, Szabolcs
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Escribano, Álvaro
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Licht, Adrian
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D'Innocenzo, Enzo
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Luati, Alessandra
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Mazzocchi, Mario
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Econometric reviews
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
International journal of forecasting
5
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4
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Score-driven location plus scale models : asymptotic theory and an application to forecasting Dow Jones volatility
Blazsek, Szabolcs
;
Escribano, Álvaro
;
Licht, Adrian
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
28
(
2024
)
1
,
pp. 61-82
Persistent link: https://www.econbiz.de/10014506888
Saved in:
2
A robust score-driven filter for multivariate time series
D'Innocenzo, Enzo
;
Luati, Alessandra
;
Mazzocchi, Mario
- In:
Econometric reviews
42
(
2023
)
5
,
pp. 441-470
Persistent link: https://www.econbiz.de/10014305555
Saved in:
3
Multivariate Markov-switching
score-driven
models
: an application to the global crude oil market
Blazsek, Szabolcs
;
Escribano, Álvaro
;
Licht, Adrian
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
26
(
2022
)
3
,
pp. 313-335
Persistent link: https://www.econbiz.de/10013334746
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