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Applied Economics Letters Volume 29, 2022 - Issue 2
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Research Article

Prediction accuracy of volatility using the score-driven Meixner distribution: an application to the Dow Jones

Szabolcs BlazsekSchool of Business, Universidad Francisco Marroquín, Guatemala City, GuatemalaCorrespondence[email protected]
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Adrian LichtSchool of Business, Universidad Francisco Marroquín, Guatemala City, GuatemalaView further author information
Pages 111-117 | Published online: 17 Jan 2021

Citations (5)

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Read on this site (1)

Szabolcs Blazsek & Richard Bowen. (2023) Score-driven cryptocurrency and equity portfolios. Applied Economics 0:0, pages 1-20.
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Articles from other publishers (4)

Astrid Ayala, Szabolcs Blazsek & Adrian Licht. (2023) Volatility Forecasting Using Quasi-Score-Driven Models with an Application to the Coronavirus Pandemic Period. Studies in Nonlinear Dynamics & Econometrics 0:0.
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Michel Ferreira Cardia Haddad, Szabolcs Blazsek, Philip Arestis, Franz Fuerst & Hsia Hua Sheng. (2023) The two-component Beta-t-QVAR-M-lev: a new forecasting model. Financial Markets and Portfolio Management 37:4, pages 379-401.
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Astrid Ayala, Szabolcs Blazsek & Adrian Licht. (2023) Comparison of Score-Driven Equity-Gold Portfolios During the COVID-19 Pandemic Using Model Confidence Sets. Studies in Nonlinear Dynamics & Econometrics 0:0.
Crossref
Szabolcs Blazsek & Michel Ferreira Cardia Haddad. (2022) Score-driven multi-regime Markov-switching EGARCH: empirical evidence using the Meixner distribution. Studies in Nonlinear Dynamics & Econometrics 0:0.
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