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Score-driven Markov-switching EGARCH models : an application to systematic risk analysis
Blazsek, Szabolcs; Ho, Han-Chiang; Liu, Su-Ping - In: Applied economics 50 (2018) 56, pp. 6047-6060
Persistent link: https://www.econbiz.de/10012063386
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Regime-switching purchasing power parity in Latin America : Monte Carlo unit root tests with dynamic conditional score
Ayala, Astrid; Blazsek, Szabolcs; Cuñado Eizaguirre, Juncal - In: Applied economics 48 (2016) 28/30, pp. 2675-2696
Persistent link: https://www.econbiz.de/10011594383
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Event-study analysis by using dynamic conditional score models
Blazsek, Szabolcs; Monteros, Luis Antonio - In: Applied economics 49 (2017) 45, pp. 4530-4541
Persistent link: https://www.econbiz.de/10011844230
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Markov regime-switching Beta-t-EGARCH
Blazsek, Szabolcs; Ho, Han-Chiang - In: Applied economics 49 (2017) 47, pp. 4793-4805
Persistent link: https://www.econbiz.de/10011844797