Comparison of score-driven equity-gold portfolios during the COVID-19 pandemic using model confidence sets

DOI10.1515/SNDE-2022-0107MaRDI QIDQ6553231zbMATH OpenFDO

Authors Szabolcs Blazsek, Adrian Licht

Publication date 11 June 2024

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

zbMATH Keywords

dynamic conditional score (DCS) modelsequity-gold portfoliosgeneralized autoregressive score (GAS) modelsmodel confidence set (MCS)score-driven copulas

Mathematics Subject Classification ID

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

Cites work

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