Details about Szabolcs Blazsek
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Last updated 2024-10-07. Update your information in the RePEc Author Service.
Short-id: pbl111
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Working Papers
2024
- Anthropogenic effects of climate change: Further evidence from a fractionally integrated ice-age model
UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de EconomÃa
- Global, Arctic, and Antarctic sea ice volume predictions: using score-driven threshold climate models
UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de EconomÃa View citations (1)
See also Journal Article Global, Arctic, and Antarctic sea ice volume predictions using score-driven threshold climate models, Energy Economics, Elsevier (2024) View citations (1) (2024)
2022
- Score-driven threshold ice-age models: benchmark models for long-run climate forecasts
UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de EconomÃa 
See also Journal Article Score-driven threshold ice-age models: Benchmark models for long-run climate forecasts, Energy Economics, Elsevier (2023) View citations (2) (2023)
2021
- Robust estimation and forecasting of climate change using score-driven ice-age models
UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de EconomÃa 
See also Journal Article Robust Estimation and Forecasting of Climate Change Using Score-Driven Ice-Age Models, Econometrics, MDPI (2022) View citations (3) (2022)
2020
- Dynamic stochastic general equilibrium inference using a score-driven approach
UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de EconomÃa
- Intertemporal Choice Experiments and Large-Stakes Behavior
Documentos de Trabajo, Universidad del Rosario View citations (2)
Also in Documentos de trabajo - Alianza EFI, Alianza EFI (2019)  Working Papers, Chapman University, Economic Science Institute (2020) View citations (2)
See also Journal Article Intertemporal choice experiments and large-stakes behavior, Journal of Economic Behavior & Organization, Elsevier (2022) View citations (1) (2022)
- Nonlinear common trends for the global crude oil market: Markov-switching score-driven models of the multivariate t-distribution
UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de EconomÃa
- Prediction accuracy of bivariate score-driven risk premium and volatility filters: an illustration for the Dow Jones
UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de EconomÃa
2019
- Co-integration and common trends analysis with score-driven models: an application to the federal funds effective rate and US inflation rate
UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de EconomÃa View citations (1)
- Markov-switching score-driven multivariate models: outlier-robust measurement of the relationships between world crude oil production and US industrial production
UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de EconomÃa
- 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 EconomÃa View citations (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 EconomÃa
2018
- Seasonal Quasi-Vector Autoregressive Models with an Application to Crude Oil Production and Economic Activity in the United States and Canada
UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de EconomÃa View citations (1)
- Seasonal quasi-vector autoregressive models for macroeconomic data
UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de EconomÃa View citations (1)
- Seasonality Detection in Small Samples using Score-Driven Nonlinear Multivariate Dynamic Location Models
UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de EconomÃa View citations (1)
2017
- Dynamic conditional score models with time-varying location, scale and shape parameters
UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de EconomÃa View citations (3)
- Score-driven non-linear multivariate dynamic location models
UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de EconomÃa View citations (4)
2016
- Score-driven dynamic patent count panel data models
UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de EconomÃa View citations (7)
See also Journal Article Score-driven dynamic patent count panel data models, Economics Letters, Elsevier (2016) View citations (7) (2016)
2015
- Dynamic conditional score patent count panel data models
UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de EconomÃa
2014
- Propensity to patent, R&D and market competition: dynamic spillovers of innovation leaders and followers
UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de EconomÃa View citations (2)
2012
- Patents, secret innovations and firm's rate of return: differential effects of the innovation leader
UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de EconomÃa View citations (1)
2011
- Renewable energy innovations in Europe: A dynamic panel data approach
Post-Print, HAL View citations (2)
Also in Faculty Working Papers, School of Economics and Business Administration, University of Navarra (2009) View citations (2)
See also Journal Article Renewable energy innovations in Europe: a dynamic panel data approach, Applied Economics, Taylor & Francis Journals (2012) View citations (7) (2012)
2010
- Knowledge spillovers in U.S. patents: A dynamic patent intensity model with secret common innovation factors
Post-Print, HAL View citations (11)
Also in UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de EconomÃa (2009) View citations (1)
See also Journal Article Knowledge spillovers in US patents: A dynamic patent intensity model with secret common innovation factors, Journal of Econometrics, Elsevier (2010) View citations (15) (2010)
2009
- The Liquidity and Liquidity Distribution Effects in Emerging Markets: The Case of Jordan
IMF Working Papers, International Monetary Fund View citations (1)
2008
- Regime switching models of hedge fund returns
Faculty Working Papers, School of Economics and Business Administration, University of Navarra View citations (4)
Journal Articles
2024
- Global, Arctic, and Antarctic sea ice volume predictions using score-driven threshold climate models
Energy Economics, 2024, 134, (C) View citations (1)
See also Working Paper Global, Arctic, and Antarctic sea ice volume predictions: using score-driven threshold climate models, UC3M Working papers. Economics (2024) View citations (1) (2024)
- Non-Gaussian score-driven conditionally heteroskedastic models with a macroeconomic application
Macroeconomic Dynamics, 2024, 28, (1), 32-50
- Score function scaling for QAR plus Beta-t-EGARCH: an empirical application to the S&P 500
Applied Economics, 2024, 56, (31), 3684-3697
- Score-Driven Interactions for “Disease X” Using COVID and Non-COVID Mortality
Econometrics, 2024, 12, (3), 1-24
- Score-driven cryptocurrency and equity portfolios
Applied Economics, 2024, 56, (18), 2109-2128
- Score-driven location plus scale models: asymptotic theory and an application to forecasting Dow Jones volatility
Studies in Nonlinear Dynamics & Econometrics, 2024, 28, (1), 61-82
2023
- Anticipating extreme losses using score-driven shape filters
Studies in Nonlinear Dynamics & Econometrics, 2023, 27, (4), 449-484 View citations (1)
- Co-integration with score-driven models: an application to US real GDP growth, US inflation rate, and effective federal funds rate
Macroeconomic Dynamics, 2023, 27, (1), 203-223
- 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
- Conservatorship, quantitative easing, and mortgage spreads: a new multi-equation score-driven model of policy actions
Studies in Nonlinear Dynamics & Econometrics, 2023, 27, (2), 237-264
- Score-driven multi-regime Markov-switching EGARCH: empirical evidence using the Meixner distribution
Studies in Nonlinear Dynamics & Econometrics, 2023, 27, (4), 589-634
- Score-driven threshold ice-age models: Benchmark models for long-run climate forecasts
Energy Economics, 2023, 118, (C) View citations (2)
See also Working Paper Score-driven threshold ice-age models: benchmark models for long-run climate forecasts, UC3M Working papers. Economics (2022) (2022)
- The two-component Beta-t-QVAR-M-lev: a new forecasting model
Financial Markets and Portfolio Management, 2023, 37, (4), 379-401
2022
- COVID-19 Active Case Forecasts in Latin American Countries Using Score-Driven Models
Mathematics, 2022, 11, (1), 1-17
- Intertemporal choice experiments and large-stakes behavior
Journal of Economic Behavior & Organization, 2022, 196, (C), 484-500 View citations (1)
See also Working Paper Intertemporal Choice Experiments and Large-Stakes Behavior, Documentos de Trabajo (2020) View citations (2) (2020)
- Multivariate Markov-switching score-driven models: an application to the global crude oil market
Studies in Nonlinear Dynamics & Econometrics, 2022, 26, (3), 313-335 View citations (1)
- Prediction accuracy of volatility using the score-driven Meixner distribution: an application to the Dow Jones
Applied Economics Letters, 2022, 29, (2), 111-117 View citations (1)
- Robust Estimation and Forecasting of Climate Change Using Score-Driven Ice-Age Models
Econometrics, 2022, 10, (1), 1-29 View citations (3)
See also Working Paper Robust estimation and forecasting of climate change using score-driven ice-age models, UC3M Working papers. Economics (2021) (2021)
- 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
- Identification of Seasonal Effects in Impulse Responses Using Score-Driven Multivariate Location Models
Journal of Econometric Methods, 2021, 10, (1), 53-66
- Score-driven panel data models of the capital structure of US firms
Applied Economics Letters, 2021, 28, (19), 1666-1670
2020
- Dynamic conditional score models: a review of their applications
Applied Economics, 2020, 52, (11), 1181-1199 View citations (4)
2019
- 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)
- 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)
- Smoothing, discounting, and demand for intra-household control for recipients of conditional cash transfers
Journal of Applied Economics, 2019, 22, (1), 219-242 View citations (3)
2018
- Analysis of electricity prices for Central American countries using dynamic conditional score models
Empirical Economics, 2018, 55, (4), 1807-1848 View citations (6)
- 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)
- Forecasting rate of return after extreme values when using AR-t-GARCH and QAR-Beta-t-EGARCH
Finance Research Letters, 2018, 24, (C), 193-198 View citations (2)
- Score-driven Markov-switching EGARCH models: an application to systematic risk analysis
Applied Economics, 2018, 50, (56), 6047-6060 View citations (11)
- Score-driven copula models for portfolios of two risky assets
The European Journal of Finance, 2018, 24, (18), 1861-1884 View citations (3)
2017
- Dynamic conditional score models of degrees of freedom: filtering with score-driven heavy tails
Applied Economics, 2017, 49, (53), 5426-5440 View citations (3)
- Event-study analysis by using dynamic conditional score models
Applied Economics, 2017, 49, (45), 4530-4541 View citations (5)
- Markov regime-switching Beta--EGARCH
Applied Economics, 2017, 49, (47), 4793-4805 View citations (5)
2016
- Model stability and forecast performance of Beta--EGARCH
Applied Economics Letters, 2016, 23, (17), 1219-1223 View citations (1)
- Patent propensity, R&D and market competition: Dynamic spillovers of innovation leaders and followers
Journal of Econometrics, 2016, 191, (1), 145-163 View citations (18)
- QARMA-Beta- t -EGARCH versus ARMA-GARCH: an application to S&P 500
Applied Economics, 2016, 48, (12), 1119-1129 View citations (2)
- Regime-switching purchasing power parity in Latin America: Monte Carlo unit root tests with dynamic conditional score
Applied Economics, 2016, 48, (29), 2675-2696
- Score-driven dynamic patent count panel data models
Economics Letters, 2016, 149, (C), 116-119 View citations (7)
See also Working Paper Score-driven dynamic patent count panel data models, UC3M Working papers. Economics (2016) View citations (7) (2016)
2015
- Is Beta- t -EGARCH(1,1) superior to GARCH(1,1)?
Applied Economics, 2015, 47, (17), 1764-1774 View citations (5)
2013
- Forecasting hedge fund volatility: a Markov regime-switching approach
The European Journal of Finance, 2013, 19, (4), 243-275 View citations (2)
- Structural breaks in public finances in Central and Eastern European countries
Economic Systems, 2013, 37, (1), 45-60
2012
- 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)
- Renewable energy innovations in Europe: a dynamic panel data approach
Applied Economics, 2012, 44, (24), 3135-3147 View citations (7)
Also in Applied Economics, 2012, 44, (24), 3135-3147 (2012) View citations (6)
See also Working Paper Renewable energy innovations in Europe: A dynamic panel data approach, Post-Print (2011) View citations (2) (2011)
- The liquidity and liquidity distribution effects in emerging markets: evidence from Jordan
Applied Financial Economics, 2012, 22, (3), 231-242
2010
- Knowledge spillovers in US patents: A dynamic patent intensity model with secret common innovation factors
Journal of Econometrics, 2010, 159, (1), 14-32 View citations (15)
See also Working Paper Knowledge spillovers in U.S. patents: A dynamic patent intensity model with secret common innovation factors, Post-Print (2010) View citations (11) (2010)
Chapters
2015
- Default Risk of Sovereign Debt in Central America
Palgrave Macmillan
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