Work

Score-driven location plus scale models: asymptotic theory and an application to forecasting Dow Jones volatility

Year: 2022

Type: article

Source: Studies in Nonlinear Dynamics and Econometrics

DOI: 10.1515/snde-2021-0083

Authors: Szabolcs Blazsek, Alvaro Escribano, Adrian Licht

Institutions: Universidad Francisco Marroquín, Universidad Carlos III de Madrid

Language: English

Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: closed

Funder: Comunidad de Madrid

Award: G1613086345

OpenAlex ID: W4221106822

FWCI: 2.364

Cites: 35

Cited by: 16

Related to: 10