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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
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QARMA-Beta-t-EGARCH versus ARMA-GARCH : an application to S & P 500
Blazsek, Szabolcs; Mendoza, Vicente - In: Applied economics 48 (2016) 10/12, pp. 1119-1129
Persistent link: https://www.econbiz.de/10011432926
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Unit root testing against an ST-MTAR alternative : finite-sample properties and an application to the UK housing market
Cook, Steven; Vougas, Dimitrios V. - In: Applied economics 41 (2009) 10/12, pp. 1397-1404
Persistent link: https://www.econbiz.de/10003845351
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The power of asymmetric unit root tests under threshold and consistent-threshold estimation
Cook, Steven; Manning, Neil - In: Applied economics 35 (2003) 14, pp. 1543-1550
Persistent link: https://www.econbiz.de/10001811205
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Frequency domain and time series properties of asymmetric error correction terms
Cook, Steven - In: Applied economics 32 (2000) 3, pp. 297-304
Persistent link: https://www.econbiz.de/10001488632
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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
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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