Astrid Loretta Ayala

Names

Identifer

Contact

Affiliations

• Universidad Francisco Marroquín / Escuela de Negocios
  • EDIRC entry
  • location:

Research profile

author of:

• Anticipating extreme losses using score-driven shape filters (RePEc:bpj:sndecm:v:27:y:2023:i:4:p:449-484:n:1)
  by Ayala Astrid & Blazsek Szabolcs & Escribano Alvaro
• Comparison of Score-Driven Equity-Gold Portfolios During the COVID-19 Pandemic Using Model Confidence Sets (RePEc:bpj:sndecm:v:27:y:2023:i:5:p:705-731:n:2)
  by Ayala Astrid & Blazsek Szabolcs & Licht Adrian
• Volatility Forecasting Using Quasi-Score-Driven Models with an Application to the Coronavirus Pandemic Period (RePEc:bpj:sndecm:v:28:y:2024:i:5:p:785-805:n:1006)
  by Ayala Astrid & Blazsek Szabolcs & Licht Adrian
• Unemployment hysteresis: empirical evidence for Latin America (RePEc:cem:jaecon:v:15:y:2012:n:2:p:213-233)
  by Astrid Ayala & Juncal Cuñado & Luis Albériko Gil-Alana
• Dynamic conditional score models with time-varying location, scale and shape parameters (RePEc:cte:werepe:25043)
  by Ayala, Astrid & Blazsek, Szabolcs
• Score-driven time series models with dynamic shape : an application to the Standard & Poor's 500 index (RePEc:cte:werepe:28133)
  by Ayala, Astrid & Blazsek, Szabolcs
• Maximum likelihood estimation of score-driven models with dynamic shape parameters : an application to Monte Carlo value-at-risk (RePEc:cte:werepe:28638)
  by Ayala, Astrid & Blazsek, Szabolcs
• Structural breaks in public finances in Central and Eastern European countries (RePEc:eee:ecosys:v:37:y:2013:i:1:p:45-60)
  by Ayala, Astrid & Blazsek, Szabolcs
• Default Risk of Sovereign Debt in Central America (RePEc:pal:palchp:978-1-137-45066-1_2)
  by Astrid Ayala & Szabolcs Blazsek & Raúl B. González Paz
• Score-driven stochastic seasonality of the Russian rouble: an application case study for the period of 1999 to 2020 (RePEc:spr:empeco:v:62:y:2022:i:5:d:10.1007_s00181-021-02103-6)
  by Astrid Ayala & Szabolcs Blazsek & Adrian Licht
• Score-driven currency exchange rate seasonality as applied to the Guatemalan Quetzal/US Dollar (RePEc:spr:series:v:10:y:2019:i:1:d:10.1007_s13209-018-0186-0)
  by Astrid Ayala & Szabolcs Blazsek
• How has the financial crisis affected the fiscal convergence of Central and Eastern Europe to the Eurozone? (RePEc:taf:apeclt:v:19:y:2012:i:5:p:471-476)
  by Astrid Ayala & Szabolcs Blazsek
• Score-driven panel data models of the capital structure of US firms (RePEc:taf:apeclt:v:28:y:2021:i:19:p:1666-1670)
  by Astrid Loretta Ayala & Szabolcs Blazsek
• Real convergence in Latin America: a fractionally integrated approach (RePEc:taf:apfiec:v:22:y:2012:i:20:p:1713-1717)
  by Astrid Ayala & Juncal Cuñado & Luis Alb�riko Gil-Alana
• Real convergence: empirical evidence for Latin America (RePEc:taf:applec:v:45:y:2013:i:22:p:3220-3229)
  by Astrid Ayala & Juncal Cunado & Luis Alberiko Gil-Alana
• Regime-switching purchasing power parity in Latin America: Monte Carlo unit root tests with dynamic conditional score (RePEc:taf:applec:v:48:y:2016:i:29:p:2675-2696)
  by Astrid Ayala & Szabolcs Blazsek & Juncal Cuñado & Luis Albériko Gil-Alana
• Equity market neutral hedge funds and the stock market: an application of score-driven copula models (RePEc:taf:applec:v:50:y:2018:i:37:p:4005-4023)
  by Astrid Ayala & Szabolcs Blazsek
• Score-driven models of stochastic seasonality in location and scale: an application case study of the Indian rupee to USD exchange rate (RePEc:taf:applec:v:51:y:2019:i:37:p:4083-4103)
  by Astrid Ayala & Szabolcs Blazsek
• Score function scaling for QAR plus Beta-t-EGARCH: an empirical application to the S&P 500 (RePEc:taf:applec:v:56:y:2024:i:31:p:3684-3697)
  by Astrid Loretta Ayala & Szabolcs Blazsek & Adrian Licht
• Score-driven copula models for portfolios of two risky assets (RePEc:taf:eurjfi:v:24:y:2018:i:18:p:1861-1884)
  by Astrid Ayala & Szabolcs Blazsek
• Unemployment Hysteresis: Empirical Evidence for Latin America (RePEc:taf:recsxx:v:15:y:2012:i:2:p:213-233)
  by Astrid Ayala & Juncal Cuñado & Luis Albériko Gil-Alana