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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
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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