Score-driven location plus scale models: asymptotic theory and an application to forecasting Dow Jones volatility (Q6645226)
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scientific article; zbMATH DE number 7950937
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Score-driven location plus scale models: asymptotic theory and an application to forecasting Dow Jones volatility |
scientific article; zbMATH DE number 7950937 |
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Score-driven location plus scale models: asymptotic theory and an application to forecasting Dow Jones volatility (English)
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28 November 2024
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dynamic conditional score (DCS)
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expected return
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generalized autoregressive score (GAS)
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maximum likelihood (ML) conditions for score-driven models
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volatility forecasting
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