Details about Szabolcs Blazsek

Access statistics for papers by Szabolcs Blazsek.

Last updated 2025-03-06. Update your information in the RePEc Author Service.

Short-id: pbl111

Working Papers

2025

1. Improved gradient scaling for score-driven filters with an application to stock market volatility
   UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía

2024

2. 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 Economía
3. 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 Economía 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

4. Score-driven threshold ice-age models: benchmark models for long-run climate forecasts
   UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía
   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

5. Robust estimation and forecasting of climate change using score-driven ice-age models
   UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía
   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

6. Dynamic stochastic general equilibrium inference using a score-driven approach
   UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía
7. Intertemporal Choice Experiments and Large-Stakes Behavior
   Documentos de Trabajo, Universidad del Rosario View citations (2)
   Also in Working Papers, Chapman University, Economic Science Institute (2020) View citations (2)
   Documentos de trabajo - Alianza EFI, Alianza EFI (2019)
   See also Journal Article Intertemporal choice experiments and large-stakes behavior, Journal of Economic Behavior & Organization, Elsevier (2022) View citations (2) (2022)
8. 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 Economía
9. 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 Economía

2019

10. 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 Economía View citations (1)
11. 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 Economía
12. 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)
13. 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

2018

14. 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 Economía View citations (1)
15. Seasonal quasi-vector autoregressive models for macroeconomic data
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía View citations (1)
16. Seasonality Detection in Small Samples using Score-Driven Nonlinear Multivariate Dynamic Location Models
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía View citations (1)

2017

17. 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)
18. Score-driven non-linear multivariate dynamic location models
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía View citations (4)

2016

19. Score-driven dynamic patent count panel data models
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía View citations (7)
    See also Journal Article Score-driven dynamic patent count panel data models, Economics Letters, Elsevier (2016) View citations (7) (2016)

2015

20. Dynamic conditional score patent count panel data models
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía

2014

21. 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 Economía View citations (2)

2012

22. 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 Economía View citations (1)

2011

23. 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

24. 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 Economía (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

25. The Liquidity and Liquidity Distribution Effects in Emerging Markets: The Case of Jordan
    IMF Working Papers, International Monetary Fund View citations (1)

2008

26. Regime switching models of hedge fund returns
    Faculty Working Papers, School of Economics and Business Administration, University of Navarra View citations (4)

Journal Articles

2025

1. Generalized Autoregressive Conditional Betas: A New Multivariate Score-Driven Filter
   Studies in Nonlinear Dynamics & Econometrics, 2025, 29, (1), 95-128
2. Within-regime volatility dynamics for observable- and Markov-switching score-driven models
   Finance Research Letters, 2025, 73, (C)

2024

3. 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)
4. Non-Gaussian score-driven conditionally heteroskedastic models with a macroeconomic application
   Macroeconomic Dynamics, 2024, 28, (1), 32-50
5. Score function scaling for QAR plus Beta-t-EGARCH: an empirical application to the S&P 500
   Applied Economics, 2024, 56, (31), 3684-3697
6. Score-Driven Interactions for “Disease X” Using COVID and Non-COVID Mortality
   Econometrics, 2024, 12, (3), 1-24
7. Score-driven cryptocurrency and equity portfolios
   Applied Economics, 2024, 56, (18), 2109-2128
8. 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
9. 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

10. Anticipating extreme losses using score-driven shape filters
    Studies in Nonlinear Dynamics & Econometrics, 2023, 27, (4), 449-484 View citations (1)
11. 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
12. 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
13. 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
14. Score-driven multi-regime Markov-switching EGARCH: empirical evidence using the Meixner distribution
    Studies in Nonlinear Dynamics & Econometrics, 2023, 27, (4), 589-634
15. 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)
16. The two-component Beta-t-QVAR-M-lev: a new forecasting model
    Financial Markets and Portfolio Management, 2023, 37, (4), 379-401

2022

17. COVID-19 Active Case Forecasts in Latin American Countries Using Score-Driven Models
    Mathematics, 2022, 11, (1), 1-17
18. Intertemporal choice experiments and large-stakes behavior
    Journal of Economic Behavior & Organization, 2022, 196, (C), 484-500 View citations (2)
    See also Working Paper Intertemporal Choice Experiments and Large-Stakes Behavior, Documentos de Trabajo (2020) View citations (2) (2020)
19. 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 (2)
20. 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)
21. 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)
22. 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

23. Identification of Seasonal Effects in Impulse Responses Using Score-Driven Multivariate Location Models
    Journal of Econometric Methods, 2021, 10, (1), 53-66
24. Score-driven panel data models of the capital structure of US firms
    Applied Economics Letters, 2021, 28, (19), 1666-1670 View citations (1)

2020

25. Dynamic conditional score models: a review of their applications
    Applied Economics, 2020, 52, (11), 1181-1199 View citations (4)

2019

26. 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)
27. 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)
28. 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

29. Analysis of electricity prices for Central American countries using dynamic conditional score models
    Empirical Economics, 2018, 55, (4), 1807-1848 View citations (6)
30. 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)
31. 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)
32. Score-driven Markov-switching EGARCH models: an application to systematic risk analysis
    Applied Economics, 2018, 50, (56), 6047-6060 View citations (12)
33. Score-driven copula models for portfolios of two risky assets
    The European Journal of Finance, 2018, 24, (18), 1861-1884 View citations (3)

2017

34. Dynamic conditional score models of degrees of freedom: filtering with score-driven heavy tails
    Applied Economics, 2017, 49, (53), 5426-5440 View citations (3)
35. Event-study analysis by using dynamic conditional score models
    Applied Economics, 2017, 49, (45), 4530-4541 View citations (5)
36. Markov regime-switching Beta--EGARCH
    Applied Economics, 2017, 49, (47), 4793-4805 View citations (6)

2016

37. Model stability and forecast performance of Beta--EGARCH
    Applied Economics Letters, 2016, 23, (17), 1219-1223 View citations (1)
38. Patent propensity, R&D and market competition: Dynamic spillovers of innovation leaders and followers
    Journal of Econometrics, 2016, 191, (1), 145-163 View citations (19)
39. QARMA-Beta- t -EGARCH versus ARMA-GARCH: an application to S&P 500
    Applied Economics, 2016, 48, (12), 1119-1129 View citations (2)
40. Regime-switching purchasing power parity in Latin America: Monte Carlo unit root tests with dynamic conditional score
    Applied Economics, 2016, 48, (29), 2675-2696
41. 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

42. Is Beta- t -EGARCH(1,1) superior to GARCH(1,1)?
    Applied Economics, 2015, 47, (17), 1764-1774 View citations (5)

2013

43. Forecasting hedge fund volatility: a Markov regime-switching approach
    The European Journal of Finance, 2013, 19, (4), 243-275 View citations (2)
44. Structural breaks in public finances in Central and Eastern European countries
    Economic Systems, 2013, 37, (1), 45-60

2012

45. 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)
46. 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)
47. The liquidity and liquidity distribution effects in emerging markets: evidence from Jordan
    Applied Financial Economics, 2012, 22, (3), 231-242

2010

48. 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

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