{"id":"https://openalex.org/W4221106822","doi":"https://doi.org/10.1515/snde-2021-0083","title":"Score-driven location plus scale models: asymptotic theory and an application to forecasting Dow Jones volatility","display_name":"Score-driven location plus scale models: asymptotic theory and an application to forecasting Dow Jones volatility","publication_year":2022,"publication_date":"2022-03-07","ids":{"openalex":"https://openalex.org/W4221106822","doi":"https://doi.org/10.1515/snde-2021-0083"},"language":"en","primary_location":{"id":"doi:10.1515/snde-2021-0083","doi":"https://doi.org/10.1515/snde-2021-0083","is_oa":false,"landing_page_url":"https://doi.org/10.1515/snde-2021-0083","pdf_url":null,"source":{"id":"https://openalex.org/S193530623","display_name":"Studies in Nonlinear Dynamics and Econometrics","issn_l":"1081-1826","issn":["1081-1826","1558-3708"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a","anvur-scientific","cwts-core","erih-plus","jufo-1","norway-1","poland-100","russia-white-list-2","vabb-shw"],"host_organization":"https://openalex.org/P4310313990","host_organization_name":"De Gruyter","host_organization_lineage":["https://openalex.org/P4310313990"],"host_organization_lineage_names":["De Gruyter"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Studies in Nonlinear Dynamics & Econometrics","raw_type":"journal-article"},"volume":null,"type":"article","is_traditional":true,"indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5088751416","display_name":"Szabolcs Blazsek","orcid":"https://orcid.org/0000-0002-0394-1258","observed_orcids":["https://orcid.org/0000-0002-0394-1258"]},"institutions":[{"id":"https://openalex.org/I52334195","display_name":"Universidad Francisco Marroqu\u00edn","ror":"https://ror.org/03hrwak15","country_code":"GT","type":"education","lineage":["https://openalex.org/I52334195"]}],"countries":["GT"],"is_corresponding":false,"raw_author_name":"Szabolcs Blazsek","raw_affiliation_strings":["School of Business , Universidad Francisco Marroqu\u00edn , Guatemala City 01010 , Guatemala"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"School of Business , Universidad Francisco Marroqu\u00edn , Guatemala City 01010 , Guatemala","institution_ids":["https://openalex.org/I52334195"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5044687851","display_name":"\u00c1lvaro Escribano","orcid":"https://orcid.org/0000-0003-4401-0887","observed_orcids":["https://orcid.org/0000-0003-4401-0887"]},"institutions":[{"id":"https://openalex.org/I50357001","display_name":"Universidad Carlos III de Madrid","ror":"https://ror.org/03ths8210","country_code":"ES","type":"education","lineage":["https://openalex.org/I50357001"]}],"countries":["ES"],"is_corresponding":true,"raw_author_name":"Alvaro Escribano","raw_affiliation_strings":["Department of Economics , Universidad Carlos III de Madrid , Getafe 28903 , Spain"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Economics , Universidad Carlos III de Madrid , Getafe 28903 , Spain","institution_ids":["https://openalex.org/I50357001"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5019312347","display_name":"Adri\u00e1n Licht","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I52334195","display_name":"Universidad Francisco Marroqu\u00edn","ror":"https://ror.org/03hrwak15","country_code":"GT","type":"education","lineage":["https://openalex.org/I52334195"]}],"countries":["GT"],"is_corresponding":false,"raw_author_name":"Adrian Licht","raw_affiliation_strings":["School of Business , Universidad Francisco Marroqu\u00edn , Guatemala City 01010 , Guatemala"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"School of Business , Universidad Francisco Marroqu\u00edn , Guatemala City 01010 , Guatemala","institution_ids":["https://openalex.org/I52334195"]}]}],"institutions":[],"countries_distinct_count":2,"institutions_distinct_count":2,"corresponding_author_ids":["https://openalex.org/A5044687851"],"corresponding_institution_ids":["https://openalex.org/I50357001"],"apc_list":{"value":2000,"currency":"EUR","value_usd":2107},"apc_paid":null,"fwci":2.3639,"has_fulltext":false,"cited_by_count":16,"citation_normalized_percentile":{"value":0.89672582,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":88,"max":98},"biblio":{"volume":"28","issue":"1","first_page":"61","last_page":"82"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9994999766349792,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9994999766349792,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.0,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11326","display_name":"Stock Market Forecasting Methods","score":0.0,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/score-driven-models","display_name":"score-driven models","score":0.8579999804496765},{"id":"https://openalex.org/keywords/volatility-forecasting","display_name":"volatility forecasting","score":0.7300000190734863},{"id":"https://openalex.org/keywords/dow-jones-industrial-average","display_name":"Dow Jones Industrial Average","score":0.8510000109672546},{"id":"https://openalex.org/keywords/garch","display_name":"GARCH","score":0.5460000038146973}],"concepts":[{"id":"https://openalex.org/C23922673","wikidata":"https://www.wikidata.org/wiki/Q180752","display_name":"Autoregressive conditional heteroskedasticity","level":3,"score":0.6591287851333618},{"id":"https://openalex.org/C2776174256","wikidata":"https://www.wikidata.org/wiki/Q830842","display_name":"BETA (programming language)","level":2,"score":0.6304500699043274},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.6054516434669495},{"id":"https://openalex.org/C185429906","wikidata":"https://www.wikidata.org/wiki/Q1130160","display_name":"Estimator","level":2,"score":0.5979965329170227},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.5916683673858643},{"id":"https://openalex.org/C159877910","wikidata":"https://www.wikidata.org/wiki/Q2202883","display_name":"Autoregressive model","level":2,"score":0.5764366984367371},{"id":"https://openalex.org/C101104100","wikidata":"https://www.wikidata.org/wiki/Q1063540","display_name":"Heteroscedasticity","level":2,"score":0.5496075749397278},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.5084397196769714},{"id":"https://openalex.org/C122044880","wikidata":"https://www.wikidata.org/wiki/Q5498822","display_name":"Ergodic theory","level":2,"score":0.4704381823539734},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.38806283473968506},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.11824530363082886},{"id":"https://openalex.org/C134306372","wikidata":"https://www.wikidata.org/wiki/Q7754","display_name":"Mathematical analysis","level":1,"score":0.0742402970790863},{"id":"https://openalex.org/C199360897","wikidata":"https://www.wikidata.org/wiki/Q9143","display_name":"Programming language","level":1,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1515/snde-2021-0083","doi":"https://doi.org/10.1515/snde-2021-0083","is_oa":false,"landing_page_url":"https://doi.org/10.1515/snde-2021-0083","pdf_url":null,"source":{"id":"https://openalex.org/S193530623","display_name":"Studies in Nonlinear Dynamics and Econometrics","issn_l":"1081-1826","issn":["1081-1826","1558-3708"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a","anvur-scientific","cwts-core","erih-plus","jufo-1","norway-1","poland-100","russia-white-list-2","vabb-shw"],"host_organization":"https://openalex.org/P4310313990","host_organization_name":"De Gruyter","host_organization_lineage":["https://openalex.org/P4310313990"],"host_organization_lineage_names":["De Gruyter"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Studies in Nonlinear Dynamics & Econometrics","raw_type":"journal-article"}],"best_oa_location":null,"sustainable_development_goals":[],"study_designs":[],"awards":[{"id":"https://openalex.org/G1613086345","display_name":null,"funder_award_id":"MADECO-CM/S2015/HUM-3444","funder_id":"https://openalex.org/F4320313831","funder_display_name":"Comunidad de Madrid"}],"funders":[{"id":"https://openalex.org/F4320313831","display_name":"Comunidad de Madrid","ror":null}],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":35,"referenced_works":["https://openalex.org/W1554742409","https://openalex.org/W1979575715","https://openalex.org/W1999029409","https://openalex.org/W1999814123","https://openalex.org/W1999996900","https://openalex.org/W2005424182","https://openalex.org/W2018718863","https://openalex.org/W2029120521","https://openalex.org/W2044117118","https://openalex.org/W2061160212","https://openalex.org/W2079542389","https://openalex.org/W2086546462","https://openalex.org/W2095441777","https://openalex.org/W2097971722","https://openalex.org/W2098347405","https://openalex.org/W2109013817","https://openalex.org/W2109263931","https://openalex.org/W2112339981","https://openalex.org/W2135150595","https://openalex.org/W2153947535","https://openalex.org/W2168745915","https://openalex.org/W2206149923","https://openalex.org/W2258453415","https://openalex.org/W2529383781","https://openalex.org/W2887718163","https://openalex.org/W2947626232","https://openalex.org/W2972326011","https://openalex.org/W3005117407","https://openalex.org/W3096113401","https://openalex.org/W3122175640","https://openalex.org/W3123351111","https://openalex.org/W3123903523","https://openalex.org/W3125354398","https://openalex.org/W3159741828","https://openalex.org/W3194019432"],"related_works":["https://openalex.org/W7014476775","https://openalex.org/W4407613442","https://openalex.org/W3122992865","https://openalex.org/W4386392578","https://openalex.org/W4375864077","https://openalex.org/W7130931639","https://openalex.org/W7138406917","https://openalex.org/W2317257137","https://openalex.org/W2315682763","https://openalex.org/W4389190080"],"abstract_inverted_index":{"Abstract":[0],"We":[1,47,65,78],"present":[2],"the":[3,11,49,53,74,81,92,110],"Beta-":[4,25,32,41,61,86,97,100],"t":[5,26,33,42,45,62,87,98,101],"-QVAR":[6,27,63,88],"(quasi-vector":[7],"autoregression)":[8],"model":[9],"for":[10,58,73,109],"joint":[12],"modelling":[13],"of":[14,19,31,52,76,85,96,112],"score-driven":[15],"location":[16],"plus":[17],"scale":[18],"strictly":[20],"stationary":[21],"and":[22,40,107],"ergodic":[23],"variables.":[24],"is":[28,89],"an":[29],"extension":[30],"-EGARCH":[34],"(exponential":[35],"generalized":[36],"autoregressive":[37],"conditional":[38],"heteroscedasticity)":[39],"-EGARCH-M":[43],"(Beta-":[44],"-EGARCH-in-mean).":[46],"prove":[48],"asymptotic":[50],"properties":[51],"maximum":[54],"likelihood":[55],"(ML)":[56],"estimator":[57],"correctly":[59],"specified":[60],"models.":[64],"use":[66],"Dow":[67],"Jones":[68],"Industrial":[69],"Average":[70],"(DJIA)":[71],"data":[72],"period":[75,111],"1985\u20132020.":[77],"find":[79],"that":[80],"volatility":[82,93],"forecasting":[83,94],"accuracy":[84],"superior":[90],"to":[91],"accuracies":[95],"-EGARCH,":[99],"-EGARCH-M,":[102],"A-PARCH":[103],"(asymmetric":[104],"power":[105],"ARCH),":[106],"GARCH":[108],"2010\u20132020.":[113]},"counts_by_year":[{"year":2026,"cited_by_count":2},{"year":2025,"cited_by_count":2},{"year":2024,"cited_by_count":4},{"year":2023,"cited_by_count":7},{"year":2022,"cited_by_count":1}],"updated_date":"2026-11-07T11:25:07.637180","created_date":"2022-04-03T00:00:00"}