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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
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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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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
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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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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
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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
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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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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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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