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Fractional integration in total factor productivity : evidence from US data

Gil-Alaña, Luis A.; Mendi, Pedro - In: Applied economics 37 (2005) 12, pp. 1369-1383

Persistent link: https://www.econbiz.de/10003020145

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

Maximum likelihood estimation of score-driven models with dynamic shape parameters : an application to Monte Carlo value-at-risk

Ayala, Astrid; Blazsek, Szabolcs; Escribano, Álvaro - 2019

Persistent link: https://www.econbiz.de/10012100535

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

Score-driven currency exchange rate seasonality as applied to the Guatemalan Quetzal/US Dollar

Ayala, Astrid; Blazsek, Szabolcs - In: SERIEs : Journal of the Spanish Economic Association 10 (2019) 1, pp. 65-92

In this paper we introduce new Dynamic Conditional Score (DCS) models for the Skew-Gen-t (Skewed Generalized t) and NIG (Normal-Inverse Gaussian) distributions as alternatives to the recent DCS models for the Student’s-t and EGB2 (Exponential Generalized Beta of the second kind) distributions,...

Persistent link: https://www.econbiz.de/10012033379