Similar Search Results

Automated model selection in finance : general-to-specific modelling of the mean and volatility specifications

Sucarrat, Genaro; Escribano, Álvaro - In: Oxford bulletin of economics and statistics 74 (2012) 5, pp. 716-735

Persistent link: https://www.econbiz.de/10009712121

Equation-by-equation estimation of multivariate periodic electricity price volatility

Escribano, Álvaro; Sucarrat, Genaro - 2016

Persistent link: https://www.econbiz.de/10011541411

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

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

European gasoline markets : price transmission asymmetries in mean and variance

Torrado, María; Escribano, Álvaro - In: Applied economics 52 (2020) 42, pp. 4621-4638

Persistent link: https://www.econbiz.de/10012298654

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

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

European gasoline markets : price transmission asymmetries in mean and variance

Torrado, María; Escribano, Álvaro - 2020

Persistent link: https://www.econbiz.de/10012158754

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

Automated financial multi-path GETS modelling

Sucarrat, Genaro; Escribano, Alvaro - Departamento de Economía, Universidad Carlos III de Madrid - 2009

General-to-Specific (GETS) modelling has witnessed major advances over the last decade thanks to the automation of multi-path GETS specification search. However, several scholars have argued that the estimation complexity associated with financial models constitutes an obstacle to multi-path...

Persistent link: https://www.econbiz.de/10008543188