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Search: subject:"Dynamic Conditional Score (DCS) models"
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Time series analysis
6
Zeitreihenanalyse
6
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5
Theory
5
dynamic conditional score (DCS) models
5
ARCH model
4
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4
Dynamic conditional score (DCS) models
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4
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Dynamic Conditional Score (DCS) models
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Seasonal variations
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2
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generalized autoregressive score (GAS) models
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1950-2017
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Aktienindex
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Aktienmarkt
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Beta-Gen-t-EGARCH with leverage effects
1
Beta-t-EGARCH
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Beta-t-EGARCH (exponential generalized autoregressive conditional heteroscedasticity) model
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CAPM
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Blazsek, Szabolcs
12
Ayala, Astrid
7
Licht, Adrian
2
Bowen, Richard
1
Escribano, Álvaro
1
Hernández, Hector
1
Ho, Han-Chiang
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Liu, Su-Ping
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Monteros, Luis Antonio
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Applied economics
6
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
1
SERIEs - Journal of the Spanish Economic Association
1
SERIEs : Journal of the Spanish Economic Association
1
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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The European journal of finance
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ECONIS (ZBW)
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1
Score-driven cryptocurrency and equity portfolios
Blazsek, Szabolcs
;
Bowen, Richard
- In:
Applied economics
56
(
2024
)
18
,
pp. 2109-2128
Persistent link: https://www.econbiz.de/10014475283
Saved in:
2
Comparison of score-driven equity-gold portfolios during the COVID-19 pandemic using model confidence sets
Ayala, Astrid
;
Blazsek, Szabolcs
;
Licht, Adrian
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
5
,
pp. 705-731
Persistent link: https://www.econbiz.de/10014506866
Saved in:
3
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/10014496098
Saved in:
4
Score-driven time series models with dynamic shape : an application to the Standard & Poor's 500 index
Ayala, Astrid
;
Blazsek, Szabolcs
;
Escribano, Álvaro
-
2019
Persistent link: https://www.econbiz.de/10012100546
Saved in:
5
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:
6
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:
7
Score-driven models of stochastic seasonality in location and scale : an application case study of the Indian rupee to USD exchange rate
Ayala, Astrid
;
Blazsek, Szabolcs
- In:
Applied economics
51
(
2019
)
37
,
pp. 4083-4103
Persistent link: https://www.econbiz.de/10012196964
Saved in:
8
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:
9
Score-driven copula models for portfolios of two risky assets
Ayala, Astrid
;
Blazsek, Szabolcs
- In:
The European journal of finance
24
(
2018
)
18
,
pp. 1861-1884
Persistent link: https://www.econbiz.de/10012259236
Saved in:
10
Equity market neutral hedge funds and the stock market : an application of score-driven copula models
Ayala, Astrid
;
Blazsek, Szabolcs
- In:
Applied economics
50
(
2018
)
37
,
pp. 4005-4023
Persistent link: https://www.econbiz.de/10012060246
Saved in:
1
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