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Details about Szabolcs Blazsek

Homepage:https://www.researchgate.net/profile/Szabolcs-Blazsek
Postal address:Stetson-Hatcher School of Business Mercer University 1511-1565 College St, Macon, GA 31201 United States
Workplace:School of Business and Economics, Mercer University, (more information at EDIRC)

Access statistics for papers by Szabolcs Blazsek.

Last updated 2024-10-07. Update your information in the RePEc Author Service.

Short-id: pbl111


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Working Papers

2024

  1. 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 Downloads
  2. 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 Downloads 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) Downloads View citations (1) (2024)

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 Downloads
    See also Journal Article Score-driven threshold ice-age models: Benchmark models for long-run climate forecasts, Energy Economics, Elsevier (2023) Downloads View citations (2) (2023)

2021

  1. 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 Downloads
    See also Journal Article Robust Estimation and Forecasting of Climate Change Using Score-Driven Ice-Age Models, Econometrics, MDPI (2022) Downloads View citations (3) (2022)

2020

  1. Dynamic stochastic general equilibrium inference using a score-driven approach
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía Downloads
  2. Intertemporal Choice Experiments and Large-Stakes Behavior
    Documentos de Trabajo, Universidad del Rosario Downloads View citations (2)
    Also in Documentos de trabajo - Alianza EFI, Alianza EFI (2019) Downloads
    Working Papers, Chapman University, Economic Science Institute (2020) Downloads View citations (2)

    See also Journal Article Intertemporal choice experiments and large-stakes behavior, Journal of Economic Behavior & Organization, Elsevier (2022) Downloads View citations (1) (2022)
  3. 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 Downloads
  4. 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 Downloads

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 View citations (1)
  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 (2)
  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 View citations (1)
  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 (3)
  2. Score-driven non-linear multivariate dynamic location models
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía Downloads View citations (4)

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 (7)
    See also Journal Article Score-driven dynamic patent count panel data models, Economics Letters, Elsevier (2016) Downloads View citations (7) (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 View citations (2)

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)

2011

  1. Renewable energy innovations in Europe: A dynamic panel data approach
    Post-Print, HAL Downloads View citations (2)
    Also in Faculty Working Papers, School of Economics and Business Administration, University of Navarra (2009) Downloads View citations (2)

    See also Journal Article Renewable energy innovations in Europe: a dynamic panel data approach, Applied Economics, Taylor & Francis Journals (2012) Downloads View citations (7) (2012)

2010

  1. Knowledge spillovers in U.S. patents: A dynamic patent intensity model with secret common innovation factors
    Post-Print, HAL Downloads View citations (11)
    Also in UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía (2009) Downloads 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) Downloads View citations (15) (2010)

2009

  1. 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 (4)

Journal Articles

2024

  1. Global, Arctic, and Antarctic sea ice volume predictions using score-driven threshold climate models
    Energy Economics, 2024, 134, (C) Downloads 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) Downloads View citations (1) (2024)
  2. Non-Gaussian score-driven conditionally heteroskedastic models with a macroeconomic application
    Macroeconomic Dynamics, 2024, 28, (1), 32-50 Downloads
  3. Score function scaling for QAR plus Beta-t-EGARCH: an empirical application to the S&P 500
    Applied Economics, 2024, 56, (31), 3684-3697 Downloads
  4. Score-Driven Interactions for “Disease X” Using COVID and Non-COVID Mortality
    Econometrics, 2024, 12, (3), 1-24 Downloads
  5. Score-driven cryptocurrency and equity portfolios
    Applied Economics, 2024, 56, (18), 2109-2128 Downloads
  6. 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 Downloads

2023

  1. Anticipating extreme losses using score-driven shape filters
    Studies in Nonlinear Dynamics & Econometrics, 2023, 27, (4), 449-484 Downloads View citations (1)
  2. 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 Downloads
  3. 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 Downloads
  4. 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 Downloads
  5. Score-driven multi-regime Markov-switching EGARCH: empirical evidence using the Meixner distribution
    Studies in Nonlinear Dynamics & Econometrics, 2023, 27, (4), 589-634 Downloads
  6. Score-driven threshold ice-age models: Benchmark models for long-run climate forecasts
    Energy Economics, 2023, 118, (C) Downloads 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) Downloads (2022)
  7. The two-component Beta-t-QVAR-M-lev: a new forecasting model
    Financial Markets and Portfolio Management, 2023, 37, (4), 379-401 Downloads

2022

  1. COVID-19 Active Case Forecasts in Latin American Countries Using Score-Driven Models
    Mathematics, 2022, 11, (1), 1-17 Downloads
  2. Intertemporal choice experiments and large-stakes behavior
    Journal of Economic Behavior & Organization, 2022, 196, (C), 484-500 Downloads View citations (1)
    See also Working Paper Intertemporal Choice Experiments and Large-Stakes Behavior, Documentos de Trabajo (2020) Downloads View citations (2) (2020)
  3. Multivariate Markov-switching score-driven models: an application to the global crude oil market
    Studies in Nonlinear Dynamics & Econometrics, 2022, 26, (3), 313-335 Downloads View citations (1)
  4. Prediction accuracy of volatility using the score-driven Meixner distribution: an application to the Dow Jones
    Applied Economics Letters, 2022, 29, (2), 111-117 Downloads View citations (1)
  5. Robust Estimation and Forecasting of Climate Change Using Score-Driven Ice-Age Models
    Econometrics, 2022, 10, (1), 1-29 Downloads 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) Downloads (2021)
  6. 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 Downloads View citations (2)

2021

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

2020

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

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 (4)
  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 (6)
  3. Smoothing, discounting, and demand for intra-household control for recipients of conditional cash transfers
    Journal of Applied Economics, 2019, 22, (1), 219-242 Downloads View citations (3)

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 (6)
  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 View citations (2)
  4. Score-driven Markov-switching EGARCH models: an application to systematic risk analysis
    Applied Economics, 2018, 50, (56), 6047-6060 Downloads View citations (11)
  5. Score-driven copula models for portfolios of two risky assets
    The European Journal of Finance, 2018, 24, (18), 1861-1884 Downloads View citations (3)

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 (3)
  2. Event-study analysis by using dynamic conditional score models
    Applied Economics, 2017, 49, (45), 4530-4541 Downloads View citations (5)
  3. Markov regime-switching Beta--EGARCH
    Applied Economics, 2017, 49, (47), 4793-4805 Downloads View citations (5)

2016

  1. Model stability and forecast performance of Beta--EGARCH
    Applied Economics Letters, 2016, 23, (17), 1219-1223 Downloads View citations (1)
  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 (18)
  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 (7)
    See also Working Paper Score-driven dynamic patent count panel data models, UC3M Working papers. Economics (2016) Downloads View citations (7) (2016)

2015

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

2013

  1. Forecasting hedge fund volatility: a Markov regime-switching approach
    The European Journal of Finance, 2013, 19, (4), 243-275 Downloads View citations (2)
  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 (2)
  2. Renewable energy innovations in Europe: a dynamic panel data approach
    Applied Economics, 2012, 44, (24), 3135-3147 Downloads View citations (7)
    Also in Applied Economics, 2012, 44, (24), 3135-3147 (2012) Downloads View citations (6)

    See also Working Paper Renewable energy innovations in Europe: A dynamic panel data approach, Post-Print (2011) Downloads View citations (2) (2011)
  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 (15)
    See also Working Paper Knowledge spillovers in U.S. patents: A dynamic patent intensity model with secret common innovation factors, Post-Print (2010) Downloads View citations (11) (2010)

Chapters

2015

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