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Is Beta-t-EGARCH(1,1) superior to GARCH(1,1)?
Blazsek, Szabolcs; Villatoro, Marco - In: Applied economics 47 (2015) 16/18, pp. 1764-1774
Persistent link: https://www.econbiz.de/10010511965
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Model stability and forecast performance of Beta-t-EGARCH
Blazsek, Szabolcs; Chavez, Helmuth; Mendez, Carlos - In: Applied economics letters 23 (2016) 16/18, pp. 1219-1223
Persistent link: https://www.econbiz.de/10011701871
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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
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Dynamic conditional score models of degrees of freedom : filtering with score-driven heavy tails
Blazsek, Szabolcs; Monteros, Luis Antonio - In: Applied economics 49 (2017) 53, pp. 5426-5440
Persistent link: https://www.econbiz.de/10011845187