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X
Licht, Adrian
39  Ergebnisse:
Personensuche X
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1

Core Inflation Rate for China and the ASEAN-10 Countries: S..:

Blazsek, Szabolcs ; Licht, Adrian ; Ayala, Astrid.
Studies in Nonlinear Dynamics & Econometrics.  0 (2024)  0 - p. , 2024
Link: https://doi.org/10.1515/..
 
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2

Score-Driven Location Plus Scale Models: Asymptotic Theory ..:

Blazsek, Szabolcs ; Escribano, Alvaro ; Licht, Adrian
Studies in Nonlinear Dynamics & Econometrics.  0 (2024)  0 - p. , 2024
Link: https://doi.org/10.1515/..
 
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3

Non-Gaussian score-driven conditionally heteroskedastic mod..:

Blazsek, Szabolcs ; Escribano, Álvaro ; Licht, Adrián
Macroeconomic Dynamics.  28 (2023)  1 - p. 32-50 , 2023
Link: https://doi.org/10.1017/..
 
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4

Score function scaling for QAR plus Beta-t-EGARCH: an empir..:

Ayala, Astrid Loretta ; Blazsek, Szabolcs ; Licht, Adrian
Applied Economics.  56 (2023)  31 - p. 3684-3697 , 2023
Link: https://doi.org/10.1080/..
 
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5

Comparison of Score-Driven Equity-Gold Portfolios During th..:

Ayala, Astrid ; Blazsek, Szabolcs ; Licht, Adrian
Studies in Nonlinear Dynamics & Econometrics.  27 (2023)  5 - p. 705-731 , 2023
Link: https://doi.org/10.1515/..
 
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6

Volatility Forecasting Using Quasi-Score-Driven Models with..:

Ayala, Astrid ; Blazsek, Szabolcs ; Licht, Adrian
Studies in Nonlinear Dynamics & Econometrics.  0 (2023)  0 - p. , 2023
Link: https://doi.org/10.1515/..
 
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7

Signal smoothing for score-driven models: a linear approach:

Blazsek, Szabolcs ; Ayala, Astrid ; Licht, Adrian
Communications in Statistics - Simulation and Computation.  53 (2022)  2 - p. 829-852 , 2022
Link: https://doi.org/10.1080/..
 
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8

Score-driven location plus scale models: asymptotic theory ..:

Blazsek, Szabolcs ; Escribano, Alvaro ; Licht, Adrian
Studies in Nonlinear Dynamics & Econometrics.  28 (2022)  1 - p. 61-82 , 2022
Link: https://doi.org/10.1515/..
 
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9

Multivariate Markov-switching score-driven models: an appli..:

Blazsek, Szabolcs ; Escribano, Alvaro ; Licht, Adrian
Studies in Nonlinear Dynamics & Econometrics.  26 (2021)  3 - p. 313-335 , 2021
Link: https://doi.org/10.1515/..
 
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10

Co-integration with score-driven models: an application to ..:

Blazsek, Szabolcs ; Escribano, Alvaro ; Licht, Adrian
Macroeconomic Dynamics.  27 (2021)  1 - p. 203-223 , 2021
Link: https://doi.org/10.1017/..
 
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11

Score-driven stochastic seasonality of the Russian rouble: ..:

Ayala, Astrid ; Blazsek, Szabolcs ; Licht, Adrian
Empirical Economics.  62 (2021)  5 - p. 2179-2203 , 2021
Link: https://doi.org/10.1007/..
 
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12

Prediction accuracy of volatility using the score-driven Me..:

Blazsek, Szabolcs ; Licht, Adrian
Applied Economics Letters.  29 (2021)  2 - p. 111-117 , 2021
Link: https://doi.org/10.1080/..
 
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13

Robustness of score-driven location and scale models to ext..:

Blazsek, Szabolcs ; Licht, Adrian
Financial Statistical Journal.  3 (2020)  1 - p. , 2020
Link: https://doi.org/10.24294..
 
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14

Identification of Seasonal Effects in Impulse Responses Usi..:

Blazsek, Szabolcs ; Escribano, Alvaro ; Licht, Adrian
Journal of Econometric Methods.  10 (2020)  1 - p. 53-66 , 2020
Link: https://doi.org/10.1515/..
 
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15

Dynamic conditional score models: a review of their applica..:

Blazsek, Szabolcs ; Licht, Adrian
Applied Economics.  52 (2019)  11 - p. 1181-1199 , 2019
Link: https://doi.org/10.1080/..
 
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