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Details about Szabolcs Blazsek

E-mail:
Homepage:http://en.ufm.edu/catedraticos/szabolcs-blazsek/
Phone:+502-5533-5037
Postal address:Universidad Francisco Marroquin School of Business Edificio de la Escuela de Negocios, 4to nivel, 6 Calle final, zona 10, 01010 Ciudad de Guatemala, Guatemala
Workplace:Escuela de Negocios (Business School), Universidad Francisco Marroquín (Francisco Marroquin University), (more information at EDIRC)

Access statistics for papers by Szabolcs Blazsek.

Last updated 2020-01-09. Update your information in the RePEc Author Service.

Short-id: pbl111


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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 Downloads
  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 Downloads
  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 Downloads 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 Downloads

2018

  1. 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 Downloads View citations (1)
  2. Seasonal quasi-vector autoregressive models for macroeconomic data
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía Downloads
  3. 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 Downloads View citations (1)

2017

  1. Dynamic conditional score models with time-varying location, scale and shape parameters
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía Downloads View citations (2)
  2. Score-driven non-linear multivariate dynamic location models
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía Downloads View citations (3)

2016

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

2015

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

2014

  1. 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 Downloads

2012

  1. 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 Downloads View citations (1)

2009

  1. 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 Downloads View citations (1)
    See also Journal Article in Journal of Econometrics (2010)
  2. Renewable Energy Innovations in Europe: A Dynamic Panel Data Approach
    Faculty Working Papers, School of Economics and Business Administration, University of Navarra Downloads View citations (1)
    See also Journal Article in Applied Economics (2012)
  3. The Liquidity and Liquidity Distribution Effects in Emerging Markets; The Case of Jordan
    IMF Working Papers, International Monetary Fund Downloads View citations (1)

2008

  1. Regime switching models of hedge fund returns
    Faculty Working Papers, School of Economics and Business Administration, University of Navarra Downloads 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 Downloads 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 Downloads View citations (2)

2018

  1. Analysis of electricity prices for Central American countries using dynamic conditional score models
    Empirical Economics, 2018, 55, (4), 1807-1848 Downloads View citations (3)
  2. Equity market neutral hedge funds and the stock market: an application of score-driven copula models
    Applied Economics, 2018, 50, (37), 4005-4023 Downloads View citations (2)
  3. 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 Downloads
  4. Score-driven Markov-switching EGARCH models: an application to systematic risk analysis
    Applied Economics, 2018, 50, (56), 6047-6060 Downloads View citations (5)
  5. Score-driven copula models for portfolios of two risky assets
    The European Journal of Finance, 2018, 24, (18), 1861-1884 Downloads View citations (2)

2017

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

2016

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

2015

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

2013

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

2012

  1. 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 Downloads View citations (1)
  2. Renewable energy innovations in Europe: a dynamic panel data approach
    Applied Economics, 2012, 44, (24), 3135-3147 Downloads View citations (5)
    See also Working Paper (2009)
  3. The liquidity and liquidity distribution effects in emerging markets: evidence from Jordan
    Applied Financial Economics, 2012, 22, (3), 231-242 Downloads

2010

  1. Knowledge spillovers in US patents: A dynamic patent intensity model with secret common innovation factors
    Journal of Econometrics, 2010, 159, (1), 14-32 Downloads View citations (7)
    See also Working Paper (2009)
 
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