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Co-integration and common trends analysis with score-driven models : an application to the federal funds effective rate and US inflation rate
Blazsek, Szabolcs; Escribano, Álvaro; Licht, Adrian - 2019
Persistent link: https://www.econbiz.de/10012100515
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Maximum likelihood estimation of score-driven models with dynamic shape parameters : an application to Monte Carlo value-at-risk
Ayala, Astrid; Blazsek, Szabolcs; Escribano, Álvaro - 2019
Persistent link: https://www.econbiz.de/10012100535
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Score-driven time series models with dynamic shape : an application to the Standard & Poor's 500 index
Ayala, Astrid; Blazsek, Szabolcs; Escribano, Álvaro - 2019
Persistent link: https://www.econbiz.de/10012100546
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Nonlinear common trends for the global crude oil market : Markov-switching score-driven models of the multivariate t-distribution
Blazsek, Szabolcs; Escribano, Álvaro; Licht, Adrian - 2020
Persistent link: https://www.econbiz.de/10012221928
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Dynamic stochastic general equilibrium inference using a score-driven approach
Blazsek, Szabolcs; Escribano, Álvaro; Licht, Adrian - 2020
Persistent link: https://www.econbiz.de/10012221929
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Markov-switching score-driven multivariate models : outlier-robust measurement of the relationships between world crude oil production and US industrial production
Blazsek, Szabolcs; Escribano, Álvaro; Licht, Adrian - 2019
Persistent link: https://www.econbiz.de/10012158760
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Prediction accuracy of bivariate score-driven risk premium and volatility filters : an illustration for the Dow Jones
Blazsek, Szabolcs; Escribano, Álvaro; Licht, Adrian - 2020
Persistent link: https://www.econbiz.de/10012310604
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Score-driven threshold ice-age models : benchmark models for long-run climate forecasts
Blazsek, Szabolcs; Escribano, Álvaro - 2022
Persistent link: https://www.econbiz.de/10013259822
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Robust estimation and forecasting of climate change using score-driven ice-age models
Blazsek, Szabolcs; Escribano, Álvaro - 2021
Persistent link: https://www.econbiz.de/10013259967
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Global, Arctic, and Antarctic sea ice volume predictions : using score-driven threshold climate models
Blazsek, Szabolcs; Escribano, Álvaro; Kristof, Erzsebet - 2024
Persistent link: https://www.econbiz.de/10014517265