Modelling stock returns volatility with dynamic conditional score models and random shifts-Reference-Cited by-同舟云学术

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Modelling stock returns volatility with dynamic conditional score models and random shifts

Published:2021-05 Issue: Volume: Page:102121
ISSN:1544-6123
Container-title:Finance Research Letters
language:en
Short-container-title:Finance Research Letters

Author:

Alanya-Beltran Willy^ORCID

Publisher

Elsevier BV

Subject

Finance

Reference18 articles.

1. A new look at the statistical model identification;Akaike;IEEE Trans. Autom. Control,1974

2. Comparing density forecasts via weighted likelihood ratio tests;Amisano;J. Bus. Econ. Stat.,2007

3. Computation and analysis of multiple structural change models;Bai;J. Appl. Econ.,2003

4. Generalized autoregressive conditional heteroskedasticity;Bollerslev;J. Econ.,1986

5. Generalized autoregressive score models with applications;Creal;J. Appl. Econ.,2013

Cited by 2 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Technology shocks and crude oil market connection: The role of climate change;Energy Economics;2024-02

2. Modelling volatility dependence with score copula models;Studies in Nonlinear Dynamics & Econometrics;2022-10-07

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