Details about Szabolcs Blazsek

Access statistics for papers by Szabolcs Blazsek.

Last updated 2022-05-24. Update your information in the RePEc Author Service.

Short-id: pbl111

Working Papers

2022

1. 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

2021

2. 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 in Econometrics (2022)

2020

3. Dynamic stochastic general equilibrium inference using a score-driven approach
   UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía
4. Intertemporal Choice Experiments and Large-Stakes Behavior
   Working Papers, Chapman University, Economic Science Institute View citations (1)
   Also in Documentos de Trabajo, Universidad del Rosario (2020) View citations (1)
   Documentos de trabajo - Alianza EFI, Alianza EFI (2019)
   See also Journal Article in Journal of Economic Behavior & Organization (2022)
5. 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
6. 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

7. 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)
8. 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
9. 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)
10. 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

11. 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)
12. Seasonal quasi-vector autoregressive models for macroeconomic data
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía
13. 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

14. 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 (2)
15. Score-driven non-linear multivariate dynamic location models
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía View citations (4)

2016

16. Score-driven dynamic patent count panel data models
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía View citations (4)
    See also Journal Article in Economics Letters (2016)

2015

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

2014

18. 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

2012

19. 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

20. 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 in Applied Economics (2012)

2010

21. 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 in Journal of Econometrics (2010)

2009

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

2008

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

Journal Articles

2022

1. Intertemporal choice experiments and large-stakes behavior
   Journal of Economic Behavior & Organization, 2022, 196, (C), 484-500
   See also Working Paper (2020)
2. Prediction accuracy of volatility using the score-driven Meixner distribution: an application to the Dow Jones
   Applied Economics Letters, 2022, 29, (2), 111-117
3. Robust Estimation and Forecasting of Climate Change Using Score-Driven Ice-Age Models
   Econometrics, 2022, 10, (1), 1-29
   See also Working Paper (2021)
4. 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

2021

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

2020

7. Dynamic conditional score models: a review of their applications
   Applied Economics, 2020, 52, (11), 1181-1199 View citations (2)

2019

8. 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 (2)
9. 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)
10. 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 (2)

2018

11. Analysis of electricity prices for Central American countries using dynamic conditional score models
    Empirical Economics, 2018, 55, (4), 1807-1848 View citations (5)
12. 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)
13. 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
14. Score-driven Markov-switching EGARCH models: an application to systematic risk analysis
    Applied Economics, 2018, 50, (56), 6047-6060 View citations (6)
15. Score-driven copula models for portfolios of two risky assets
    The European Journal of Finance, 2018, 24, (18), 1861-1884 View citations (2)

2017

16. Dynamic conditional score models of degrees of freedom: filtering with score-driven heavy tails
    Applied Economics, 2017, 49, (53), 5426-5440 View citations (2)
17. Event-study analysis by using dynamic conditional score models
    Applied Economics, 2017, 49, (45), 4530-4541 View citations (4)
18. Markov regime-switching Beta--EGARCH
    Applied Economics, 2017, 49, (47), 4793-4805 View citations (4)

2016

19. Model stability and forecast performance of Beta--EGARCH
    Applied Economics Letters, 2016, 23, (17), 1219-1223
20. Patent propensity, R&D and market competition: Dynamic spillovers of innovation leaders and followers
    Journal of Econometrics, 2016, 191, (1), 145-163 View citations (8)
21. QARMA-Beta- t -EGARCH versus ARMA-GARCH: an application to S&P 500
    Applied Economics, 2016, 48, (12), 1119-1129 View citations (2)
22. Regime-switching purchasing power parity in Latin America: Monte Carlo unit root tests with dynamic conditional score
    Applied Economics, 2016, 48, (29), 2675-2696
23. Score-driven dynamic patent count panel data models
    Economics Letters, 2016, 149, (C), 116-119 View citations (4)
    See also Working Paper (2016)

2015

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

2013

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

2012

27. 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)
28. Renewable energy innovations in Europe: a dynamic panel data approach
    Applied Economics, 2012, 44, (24), 3135-3147 View citations (4)
    Also in Applied Economics, 2012, 44, (24), 3135-3147 (2012) View citations (6)
    See also Working Paper (2011)
29. The liquidity and liquidity distribution effects in emerging markets: evidence from Jordan
    Applied Financial Economics, 2012, 22, (3), 231-242

2010

30. 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 (8)
    See also Working Paper (2010)

Chapters

2015

1. Default Risk of Sovereign Debt in Central America
   Palgrave Macmillan View citations (1)