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Search: subject:"Dynamic Conditional Score (DCS) models"
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Estimation
Time series analysis
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Zeitreihenanalyse
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dynamic conditional score (DCS) models
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4
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4
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generalized autoregressive score (GAS) models
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1950-2017
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Blazsek, Szabolcs
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Ayala, Astrid
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Ho, Han-Chiang
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Applied economics
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SERIEs : Journal of the Spanish Economic Association
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Score-driven currency exchange rate seasonality as applied to the Guatemalan Quetzal/US Dollar
Ayala, Astrid
;
Blazsek, Szabolcs
- In:
SERIEs : Journal of the Spanish Economic Association
10
(
2019
)
1
,
pp. 65-92
In this paper we introduce new
Dynamic
Conditional
Score
(
DCS
)
models
for the Skew-Gen-t (Skewed Generalized t) and NIG …
Persistent link: https://www.econbiz.de/10012033379
Saved in:
2
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:
3
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:
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