Details about Astrid Loretta Ayala

Access statistics for papers by Astrid Loretta Ayala.

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Working Papers

2019

1. Maximum likelihood estimation of score-driven models with dynamic shape parameters: an application to Monte Carlo value-at-risk
   UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía View citations (2)
2. Score-driven time series models with dynamic shape: an application to the Standard & Poor's 500 index
   UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía

2017

3. Dynamic conditional score models with time-varying location, scale and shape parameters
   UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía View citations (3)

Journal Articles

2024

1. Score function scaling for QAR plus Beta-t-EGARCH: an empirical application to the S&P 500
   Applied Economics, 2024, 56, (31), 3684-3697
2. Volatility Forecasting Using Quasi-Score-Driven Models with an Application to the Coronavirus Pandemic Period
   Studies in Nonlinear Dynamics & Econometrics, 2024, 28, (5), 785-805

2023

3. Anticipating extreme losses using score-driven shape filters
   Studies in Nonlinear Dynamics & Econometrics, 2023, 27, (4), 449-484 View citations (1)
4. Comparison of Score-Driven Equity-Gold Portfolios During the COVID-19 Pandemic Using Model Confidence Sets
   Studies in Nonlinear Dynamics & Econometrics, 2023, 27, (5), 705-731

2022

5. Score-driven stochastic seasonality of the Russian rouble: an application case study for the period of 1999 to 2020
   Empirical Economics, 2022, 62, (5), 2179-2203 View citations (2)

2021

6. Score-driven panel data models of the capital structure of US firms
   Applied Economics Letters, 2021, 28, (19), 1666-1670

2019

7. Score-driven currency exchange rate seasonality as applied to the Guatemalan Quetzal/US Dollar
   SERIEs: Journal of the Spanish Economic Association, 2019, 10, (1), 65-92 View citations (4)
8. Score-driven models of stochastic seasonality in location and scale: an application case study of the Indian rupee to USD exchange rate
   Applied Economics, 2019, 51, (37), 4083-4103 View citations (6)

2018

9. Equity market neutral hedge funds and the stock market: an application of score-driven copula models
   Applied Economics, 2018, 50, (37), 4005-4023 View citations (2)
10. Score-driven copula models for portfolios of two risky assets
    The European Journal of Finance, 2018, 24, (18), 1861-1884 View citations (3)

2016

11. Regime-switching purchasing power parity in Latin America: Monte Carlo unit root tests with dynamic conditional score
    Applied Economics, 2016, 48, (29), 2675-2696

2013

12. Real convergence: empirical evidence for Latin America
    Applied Economics, 2013, 45, (22), 3220-3229 View citations (4)
13. Structural breaks in public finances in Central and Eastern European countries
    Economic Systems, 2013, 37, (1), 45-60

2012

14. How has the financial crisis affected the fiscal convergence of Central and Eastern Europe to the Eurozone?
    Applied Economics Letters, 2012, 19, (5), 471-476 View citations (2)
15. Real convergence in Latin America: a fractionally integrated approach
    Applied Financial Economics, 2012, 22, (20), 1713-1717
16. Unemployment Hysteresis: Empirical Evidence for Latin America
    Journal of Applied Economics, 2012, 15, (2), 213-233 View citations (7)
    Also in Journal of Applied Economics, 2012, 15, 213-233 (2012) View citations (12)

Chapters

2015

1. Default Risk of Sovereign Debt in Central America
   Palgrave Macmillan