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Licht, Adrian
39
results:
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Online (39)
Mediatypes
Articles (Online) (22)
OpenAccess-fulltext (17)
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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/..
?
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/..
?
3
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/..
?
4
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/..
?
5
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/..
?
6
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/..
?
7
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/..
?
8
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/..
?
9
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/..
?
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/..
?
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/..
?
12
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/..
?
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..
?
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/..
?
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/..
1-15