Details about Szabolcs Blazsek

Access statistics for papers by Szabolcs Blazsek.

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Short-id: pbl111

Working Papers

2019

1. 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
2. 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
3. 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)
4. 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

5. 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)
6. Seasonal quasi-vector autoregressive models for macroeconomic data
   UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía
7. 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

8. 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)
9. Score-driven non-linear multivariate dynamic location models
   UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía View citations (3)

2016

10. 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

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

2014

12. 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

13. 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)

2009

14. Knowledge spillovers in U.S. patents: a dynamic patent intensity model with secret common innovation factors
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía View citations (1)
    See also Journal Article in Journal of Econometrics (2010)
15. Renewable Energy Innovations in Europe: A Dynamic Panel Data Approach
    Faculty Working Papers, School of Economics and Business Administration, University of Navarra View citations (1)
    See also Journal Article in Applied Economics (2012)
16. The Liquidity and Liquidity Distribution Effects in Emerging Markets; The Case of Jordan
    IMF Working Papers, International Monetary Fund View citations (1)

2008

17. Regime switching models of hedge fund returns
    Faculty Working Papers, School of Economics and Business Administration, University of Navarra View citations (3)

Journal Articles

2019

1. 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 (1)
2. 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 (2)

2018

3. Analysis of electricity prices for Central American countries using dynamic conditional score models
   Empirical Economics, 2018, 55, (4), 1807-1848 View citations (3)
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. 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
6. Score-driven Markov-switching EGARCH models: an application to systematic risk analysis
   Applied Economics, 2018, 50, (56), 6047-6060 View citations (5)
7. Score-driven copula models for portfolios of two risky assets
   The European Journal of Finance, 2018, 24, (18), 1861-1884 View citations (2)

2017

8. Dynamic conditional score models of degrees of freedom: filtering with score-driven heavy tails
   Applied Economics, 2017, 49, (53), 5426-5440 View citations (1)
9. Event-study analysis by using dynamic conditional score models
   Applied Economics, 2017, 49, (45), 4530-4541 View citations (4)
10. Markov regime-switching Beta--EGARCH
    Applied Economics, 2017, 49, (47), 4793-4805 View citations (4)

2016

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

2015

16. Is Beta- t -EGARCH(1,1) superior to GARCH(1,1)?
    Applied Economics, 2015, 47, (17), 1764-1774 View citations (3)

2013

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

2012

19. 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)
20. Renewable energy innovations in Europe: a dynamic panel data approach
    Applied Economics, 2012, 44, (24), 3135-3147 View citations (5)
    See also Working Paper (2009)
21. The liquidity and liquidity distribution effects in emerging markets: evidence from Jordan
    Applied Financial Economics, 2012, 22, (3), 231-242

2010

22. 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 (7)
    See also Working Paper (2009)