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QARMA-Beta-t-EGARCH versus ARMA-GARCH : an application to S & P 500

Blazsek, Szabolcs; Mendoza, Vicente - In: Applied economics 48 (2016) 10/12, pp. 1119-1129

Persistent link: https://www.econbiz.de/10011432926

Score-driven dynamic patent count panel data models

Blazsek, Szabolcs; Escribano, Álvaro - 2016

Persistent link: https://www.econbiz.de/10011541406

Dynamic conditional score patent count panel data models

Blazsek, Szabolcs; Escribano, Álvaro - 2015

Persistent link: https://www.econbiz.de/10011522402

Equity market neutral hedge funds and the stock market : an application of score-driven copula models

Ayala, Astrid; Blazsek, Szabolcs - In: Applied economics 50 (2018) 37, pp. 4005-4023

Persistent link: https://www.econbiz.de/10012060246

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

Score-driven currency exchange rate seasonality as applied to the Guatemalan Quetzal/US Dollar

Ayala, Astrid; Blazsek, Szabolcs - In: SERIEs : Journal of the Spanish Economic Association 10 (2019) 1, pp. 65-92

In this paper we introduce new Dynamic Conditional Score (DCS) models for the Skew-Gen-t (Skewed Generalized t) and NIG (Normal-Inverse Gaussian) distributions as alternatives to the recent DCS models for the Student’s-t and EGB2 (Exponential Generalized Beta of the second kind) distributions,...

Persistent link: https://www.econbiz.de/10012033379