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Equation-by-equation estimation of multivariate periodic electricity price volatility
Escribano, Álvaro; Sucarrat, Genaro - 2016
Persistent link: https://www.econbiz.de/10011541411
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European gasoline markets : price transmission asymmetries in mean and variance
Torrado, María; Escribano, Álvaro - 2020
Persistent link: https://www.econbiz.de/10012158754
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Equation-by-equation estimation of multivariate periodic electricity price volatility
Escribano, Álvaro; Sucarrat, Genaro - In: Energy economics 74 (2018), pp. 287-298
Persistent link: https://www.econbiz.de/10011972846
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The power log-GARCH model
Sucarrat, Genaro; Escribano, Álvaro - 2010
Persistent link: https://www.econbiz.de/10003972344
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Anticipating extreme losses using score-driven shape filters
Ayala, Astrid; Blazsek, Szabolcs; Escribano, Álvaro - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 27 (2023) 4, pp. 449-484
Persistent link: https://www.econbiz.de/10014372905
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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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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
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Estimation of log-GARCH models in the presence of zero returns
Sucarrat, Genaro; Escribano, Álvaro - In: The European journal of finance 24 (2018) 10/12, pp. 809-827
Persistent link: https://www.econbiz.de/10012244412