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Contagion of sovereign debt in the Eurozone
Ayala, Astrid; Blazsek, Szabolcs - In: Theoretical economics letters 4 (2014) 1, pp. 98-109
Persistent link: https://www.econbiz.de/10010373226
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Default risk of sovereign debt in Central America
Ayala, Astrid; Blazsek, Szabolcs; González de Paz, Raúl B. - In: Emerging markets and sovereign risk, (pp. 18-44). 2015
Persistent link: https://www.econbiz.de/10010458451
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Score-driven stochastic seasonality of the Russian rouble : an application case study for the period of 1999 to 2020
Ayala, Astrid; Blazsek, Szabolcs; Licht, Adrian - In: Empirical economics : a quarterly journal of the … 62 (2022) 5, pp. 2179-2203
Persistent link: https://www.econbiz.de/10013197275
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Structural breaks in public finances in Central and Eastern European countries
Ayala, Astrid; Blazsek, Szabolcs - In: Economic systems 37 (2013) 1, pp. 45-60
Persistent link: https://www.econbiz.de/10009737755
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How has the financial crisis affected the fiscal convergence of Central and Eastern Europe to the Eurozone?
Ayala, Astrid; Blazsek, Szabolcs - In: Applied economics letters 19 (2012) 4/6, pp. 471-476
Persistent link: https://www.econbiz.de/10009630692
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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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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
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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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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