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~person:"Blazsek, Szabolcs"
~person:"Paolella, Marc S."
~subject:"Prognoseverfahren"
~type_genre:"Aufsatz in Zeitschrift"
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Search: subject_exact:"GARCH model"
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Prognoseverfahren
ARCH model
28
ARCH-Modell
28
Forecasting model
13
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12
Statistische Verteilung
12
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12
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12
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generalized autoregressive score (GAS)
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Beta-t-EGARCH (exponential generalized autoregressive conditional heteroscedasticity) model
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Blazsek, Szabolcs
Paolella, Marc S.
Ma, Feng
61
Zhang, Yaojie
32
Gupta, Rangan
23
Liang, Chao
23
Wang, Yudong
20
Wei, Yu
18
Degiannakis, Stavros
16
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15
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12
Molnár, Peter
12
Nonejad, Nima
12
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12
Wu, Xinyu
12
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11
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11
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10
Wahab, M. I. M.
10
Bouri, Elie
9
Chen, Cathy W. S.
9
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9
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8
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8
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7
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7
McAleer, Michael
7
McMillan, David G.
7
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7
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7
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6
Filis, George
6
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6
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6
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6
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6
Lyócsa, Štefan
6
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6
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6
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6
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4
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1
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ECONIS (ZBW)
13
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1
The two-component Beta-t-QVAR-M-lev : a new forecasting model
Haddad, Michel Ferreira Cardia
;
Blazsek, Szabolcs
; …
- In:
Financial markets and portfolio management
37
(
2023
)
4
,
pp. 379-401
Persistent link: https://www.econbiz.de/10014420497
Saved in:
2
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:
3
Density and risk prediction with non-Gaussian COMFORT models
Paolella, Marc S.
;
Polak, Pawel
- In:
Annals of financial economics
18
(
2023
)
1
,
pp. 1-37
Persistent link: https://www.econbiz.de/10014442390
Saved in:
4
Prediction accuracy of volatility using the score-driven Meixner distribution : an application to the Dow Jones
Blazsek, Szabolcs
;
Licht, Adrian
- In:
Applied economics letters
29
(
2022
)
2
,
pp. 111-117
Persistent link: https://www.econbiz.de/10012803390
Saved in:
5
Score-driven Markov-switching EGARCH models : an application to systematic risk analysis
Blazsek, Szabolcs
;
Ho, Han-Chiang
;
Liu, Su-Ping
- In:
Applied economics
50
(
2018
)
56
,
pp. 6047-6060
Persistent link: https://www.econbiz.de/10012063386
Saved in:
6
Analysis of electricity prices for Central American countries using dynamic conditional score models
Blazsek, Szabolcs
;
Hernández, Hector
- In:
Empirical economics : a journal of the Institute for …
55
(
2018
)
4
,
pp. 1807-1848
Persistent link: https://www.econbiz.de/10011950337
Saved in:
7
Event-study analysis by using dynamic conditional score models
Blazsek, Szabolcs
;
Monteros, Luis Antonio
- In:
Applied economics
49
(
2017
)
45
,
pp. 4530-4541
Persistent link: https://www.econbiz.de/10011844230
Saved in:
8
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
Saved in:
9
COMFORT: a common market factor non-Gaussian returns model
Paolella, Marc S.
;
Polak, Pawel
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 593-605
Persistent link: https://www.econbiz.de/10011499783
Saved in:
10
Is Beta-t-EGARCH(1,1) superior to GARCH(1,1)?
Blazsek, Szabolcs
;
Villatoro, Marco
- In:
Applied economics
47
(
2015
)
16/18
,
pp. 1764-1774
Persistent link: https://www.econbiz.de/10010511965
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