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Event-study analysis by using dynamic conditional score models |
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| Authors: | Szabolcs Blazsek Luis Antonio Monteros |
| Institution: | School of Business, Universidad Francisco Marroquín, Ciudad de Guatemala, Guatemala |
| Abstract: | |
| Keywords: | dynamic conditional score (DCS) models event-study analysis quasi-ARMA (QARMA) Beta-t-EGARCH density forecasts value-at-risk |