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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 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

Comparison of score-driven equity-gold portfolios during the COVID-19 pandemic using model confidence sets

Ayala, Astrid; Blazsek, Szabolcs; Licht, Adrian - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 27 (2023) 5, pp. 705-731

Persistent link: https://www.econbiz.de/10014506866

Knowledge spillovers in US patents : a dynamic patent intensity model with secret common innovation factors

Blazsek, Szabolcs; Escribano, Álvaro - 2009

Persistent link: https://www.econbiz.de/10003972223

Knowledge spillovers in US patents : a dynamic patent intensity model with secret common innovation factors

Blazsek, Szabolcs; Escribano, Álvaro - In: Journal of econometrics 159 (2010) 1, pp. 14-32

Persistent link: https://www.econbiz.de/10008839946

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

Propensity to patent, R&D and market competition : dynamic spillovers of innovation leaders and followers

Blazsek, Szabolcs; Escribano, Álvaro - 2014

Persistent link: https://www.econbiz.de/10010483247

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

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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