Details about Astrid Loretta Ayala

Access statistics for papers by Astrid Loretta Ayala.

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Short-id: pay56

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 (1)
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

2021

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

2019

2. 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 (3)
3. 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 (3)

2018

4. 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)
5. Score-driven copula models for portfolios of two risky assets
   The European Journal of Finance, 2018, 24, (18), 1861-1884 View citations (2)

2016

6. 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

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

2012

9. 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 (1)
10. 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