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

DOI10.1515/snde-2021-0083MaRDI QIDQ6645226

Alvaro Escribano, Adrian Licht, Szabolcs Blazsek

Publication date: 28 November 2024

Published in: Studies in Nonlinear Dynamics and Econometrics (Search for Journal in Brave)

zbMATH Keywords

volatility forecastingexpected returndynamic conditional score (DCS)generalized autoregressive score (GAS)maximum likelihood (ML) conditions for score-driven models

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

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