//--> //--> //--> //-->
Toggle navigation
Logout
Change account settings
EN
DE
ES
FR
A-Z
Beta
About EconBiz
News
Thesaurus (STW)
Research Skills
Help
EN
DE
ES
FR
My account
Logout
Change account settings
Login
Publications
Events
Your search terms
Search
Retain my current filters
~person:"Licht, Adrian"
Search options
All Fields
Title
Exact title
Subject
Author
Institution
ISBN/ISSN
Published in...
Publisher
Open Access only
Advanced
Search history
My EconBiz
Favorites
Loans
Reservations
Fines
You are here:
Home
Long memory and volatility dyn...
Similar by subject
Narrow search
Delete all filters
| 1 applied filter
Year of publication
From:
To:
Subject
All
Time series analysis
15
Zeitreihenanalyse
15
Estimation
6
Schätzung
6
Theorie
6
Theory
6
USA
6
United States
6
VAR model
6
VAR-Modell
6
ARCH model
5
ARCH-Modell
5
Volatility
5
Volatilität
5
Forecasting model
4
Oil price
4
Prognoseverfahren
4
Saisonkomponente
4
Seasonal component
4
Welt
4
World
4
Ölpreis
4
Aktienindex
3
Bruttoinlandsprodukt
3
Estimation theory
3
Gross domestic product
3
Inflation rate
3
Inflationsrate
3
Markov chain
3
Markov-Kette
3
Multivariate Verteilung
3
Multivariate distribution
3
Schätztheorie
3
Scoring model
3
Scoring-Modell
3
Stock index
3
generalized autoregressive score (GAS)
3
1973-2007
2
1987-2013
2
Beta-t-EGARCH (exponential generalized autoregressive conditional heteroscedasticity) model
2
more ...
less ...
Online availability
All
Free
9
Undetermined
8
Type of publication
All
Article
9
Book / Working Paper
8
Type of publication (narrower categories)
All
Article in journal
9
Aufsatz in Zeitschrift
9
Arbeitspapier
8
Graue Literatur
8
Non-commercial literature
8
Working Paper
8
Language
All
English
17
Author
All
Licht, Adrian
Caporale, Guglielmo Maria
1,117
McAleer, Michael
823
Gupta, Rangan
708
Belke, Ansgar
672
Gil-Alaña, Luis A.
621
Eichengreen, Barry
487
Asongu, Simplice
472
Koopman, Siem Jan
466
Gros, Daniel
429
Phillips, Peter C. B.
422
De Grauwe, Paul
401
Franses, Philip Hans
390
Bahmani-Oskooee, Mohsen
388
Wagner, Joachim
384
Pesaran, M. Hashem
379
Heckman, James J.
376
Neumark, David
373
Afonso, António
348
Diebold, Francis X.
347
Glaeser, Edward L.
339
Zimmermann, Klaus F.
336
Chang, Chia-Lin
335
Dreger, Christian
329
Cheung, Yin-Wong
328
Frankel, Jeffrey A.
316
Poterba, James M.
303
Aizenman, Joshua
299
Gil-Alana, Luis A.
299
Schnabl, Gunther
299
Addison, John T.
298
Buch, Claudia M.
295
Welfens, Paul J. J.
294
Schneider, Friedrich
291
Bordo, Michael D.
289
MacDonald, Ronald
286
Marcellino, Massimiliano
284
Narayan, Paresh Kumar
283
Nijkamp, Peter
282
Woessmann, Ludger
276
Pierdzioch, Christian
275
more ...
less ...
Published in...
All
UC3M working papers
4
Working paper
4
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
3
Applied economics
2
Applied economics letters
1
Empirical economics : a quarterly journal of the Institute for Advanced Studies
1
Journal of econometric methods
1
Macroeconomic dynamics
1
more ...
less ...
Source
All
ECONIS (ZBW)
17
Showing
1
-
10
of
17
Sort
relevance
articles prioritized
date (newest first)
date (oldest first)
1
Score-driven stochastic seasonality of the Russian rouble : an application case study for the period of 1999 to 2020
Ayala, Astrid
;
Blazsek, Szabolcs
;
Licht, Adrian
- In:
Empirical economics : a quarterly journal of the …
62
(
2022
)
5
,
pp. 2179-2203
Persistent link: https://www.econbiz.de/10013197275
Saved in:
2
Nonlinear common trends for the global crude oil market : Markov-switching score-driven models of the multivariate t-distribution
Blazsek, Szabolcs
;
Escribano, Álvaro
;
Licht, Adrian
-
2020
Persistent link: https://www.econbiz.de/10012221928
Saved in:
3
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:
4
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:
5
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:
6
Markov-switching score-driven multivariate models : outlier-robust measurement of the relationships between world crude oil production and US industrial production
Blazsek, Szabolcs
;
Escribano, Álvaro
;
Licht, Adrian
-
2019
Persistent link: https://www.econbiz.de/10012158760
Saved in:
7
Co-integration with score-driven models : an application to US real GDP growth, US inflation rate, and effective federal funds rate
Blazsek, Szabolcs
;
Escribano, Álvaro
;
Licht, Adrian
- In:
Macroeconomic dynamics
27
(
2023
)
1
,
pp. 203-223
Persistent link: https://www.econbiz.de/10014247362
Saved in:
8
Co-integration and common trends analysis with score-driven models : an application to the federal funds effective rate and US inflation rate
Blazsek, Szabolcs
;
Escribano, Álvaro
;
Licht, Adrian
-
2019
Persistent link: https://www.econbiz.de/10012100515
Saved in:
9
Seasonality detection in small samples using score-driven nonlinear multivariate dynamic location models
Blazsek, Szabolcs
;
Escribano, Álvaro
;
Licht, Adrian
-
2018
Persistent link: https://www.econbiz.de/10011914526
Saved in:
10
Seasonal quasi-vector autoregressive models with an application to crude oil production and economic activity in the United States and Canada
Blazsek, Szabolcs
;
Escribano, Álvaro
;
Licht, Adrian
-
2018
Persistent link: https://www.econbiz.de/10011914528
Saved in:
1
2
Next
Last
Results per page
10
25
50
100
250
A service of the
zbw
×
Loading...
//-->