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~person:"Blazsek, Szabolcs"
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Search: subject_exact:"ARCH-Modell"
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ARCH model
14
ARCH-Modell
14
Forecasting model
10
Prognoseverfahren
10
Time series analysis
9
Zeitreihenanalyse
9
Volatility
6
Volatilität
6
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5
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5
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5
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4
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4
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4
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4
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3
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3
Dynamic conditional score (DCS) models
3
Estimation theory
3
Markov chain
3
Markov-Kette
3
Schätztheorie
3
Stock index
3
generalized autoregressive score (GAS)
3
Beta-t-EGARCH (exponential generalized autoregressive conditional heteroscedasticity) model
2
Börsenkurs
2
Dynamic conditional score (DCS)
2
Risiko
2
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2
Risk premium
2
Share price
2
VAR model
2
VAR-Modell
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density forecasts
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dynamic conditional score
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dynamic conditional score (DCS)
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generalized autoregressive score
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quasi-autoregressive (QAR) model
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Blazsek, Szabolcs
McAleer, Michael
213
Chang, Chia-Lin
83
Gupta, Rangan
76
Ma, Feng
65
Hafner, Christian M.
64
Bauwens, Luc
62
Teräsvirta, Timo
62
Engle, Robert F.
60
Caporale, Guglielmo Maria
57
Caporin, Massimiliano
51
Conrad, Christian
50
Karanasos, Menelaos
48
Bouri, Elie
44
Herwartz, Helmut
43
Francq, Christian
42
Laurent, Sébastien
40
Rombouts, Jeroen V. K.
39
Paolella, Marc S.
37
Zakoïan, Jean-Michel
37
Asai, Manabu
34
Bollerslev, Tim
33
Zhang, Yaojie
33
Ardia, David
32
Kumar, Dilip
32
McMillan, David G.
32
Saikkonen, Pentti
32
Serletis, Apostolos
32
Mittnik, Stefan
31
Linton, Oliver
29
Rahbek, Anders
29
Silvennoinen, Annastiina
29
Christoffersen, Peter F.
28
Allen, David E.
27
Hansen, Peter Reinhard
27
Kang, Sang Hoon
27
Koopman, Siem Jan
27
Degiannakis, Stavros
26
Hammoudeh, Shawkat
26
Tiwari, Aviral Kumar
26
Wang, Yudong
26
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Applied economics
6
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
3
Applied economics letters
1
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
1
Financial markets and portfolio management
1
The European journal of finance
1
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ECONIS (ZBW)
14
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14
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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
Anticipating extreme losses using score-driven shape filters
Ayala, Astrid
;
Blazsek, Szabolcs
;
Escribano, Álvaro
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
4
,
pp. 449-484
Persistent link: https://www.econbiz.de/10014372905
Saved in:
3
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:
4
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
Saved in:
5
Score-driven multi-regime Markov-switching EGARCH : empirical evidence using the Meixner distribution
Blazsek, Szabolcs
;
Haddad, Michel Ferreira Cardia
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
4
,
pp. 589-634
Persistent link: https://www.econbiz.de/10014372917
Saved in:
6
Prediction accuracy of bivariate score-driven risk premium and volatility filters : an illustration for the Dow Jones
Blazsek, Szabolcs
;
Escribano, Álvaro
;
Licht, Adrian
-
2020
Persistent link: https://www.econbiz.de/10012310604
Saved in:
7
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:
8
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
Saved in:
9
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:
10
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:
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