Similar Search Results - EconBiz

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

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

Prediction accuracy of volatility using the score-driven Meixner distribution : an application to the Dow Jones

Blazsek, Szabolcs; Licht, Adrian - In: Applied economics letters 29 (2022) 2, pp. 111-117

Persistent link: https://www.econbiz.de/10012803390

Score-driven panel data models of the capital structure of US firms

Ayala, Astrid Loretta; Blazsek, Szabolcs - In: Applied economics letters 28 (2021) 19, pp. 1666-1670

Persistent link: https://www.econbiz.de/10012652569

Intertemporal choice experiments and large-stakes behavior

Aycinena, Diego; Blazsek, Szabolcs; Rentschler, Lucas; … - 2020

Persistent link: https://www.econbiz.de/10012419156

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

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

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

Forecasting rate of return after extreme values when using AR-t-GARCH and QAR-Beta-t-EGARCH

Blazsek, Szabolcs; Carrizo, Daniela; Eskildsen, Ricardo; … - In: Finance research letters 24 (2018), pp. 193-198

Persistent link: https://www.econbiz.de/10011982571

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

A service of the