Szabolcs Blazsek
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Szabolcs |
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Blazsek |
Identifer
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Affiliations
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Mercer University
/ School of Business and Economics
Research profile
author of:
- Identification of Seasonal Effects in Impulse Responses Using Score-Driven Multivariate Location Models (RePEc:bpj:jecome:v:10:y:2021:i:1:p:53-66:n:3)
by Blazsek Szabolcs & Escribano Alvaro & Licht Adrian - Multivariate Markov-switching score-driven models: an application to the global crude oil market (RePEc:bpj:sndecm:v:26:y:2022:i:3:p:313-335:n:7)
by Blazsek Szabolcs & Escribano Alvaro & Licht Adrian - Conservatorship, quantitative easing, and mortgage spreads: a new multi-equation score-driven model of policy actions (RePEc:bpj:sndecm:v:27:y:2023:i:2:p:237-264:n:1)
by Blazsek Szabolcs & Blazsek Virag & Kobor Adam - 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 - Score-driven multi-regime Markov-switching EGARCH: empirical evidence using the Meixner distribution (RePEc:bpj:sndecm:v:27:y:2023:i:4:p:589-634:n:6)
by Blazsek Szabolcs & Haddad Michel Ferreira Cardia - 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 - Score-driven location plus scale models: asymptotic theory and an application to forecasting Dow Jones volatility (RePEc:bpj:sndecm:v:28:y:2024:i:1:p:61-82:n:7)
by Blazsek Szabolcs & Escribano Alvaro & Licht Adrian - Intertemporal Choice Experiments and Large-Stakes Behavior (RePEc:chu:wpaper:20-36)
by Diego Aycinena & Szabolcs Blazsek & Lucas Rentschler & Charles Sprenger - Intertemporal Choice Experiments and Large-Stakes Behavior (RePEc:col:000092:018357)
by Aycinena, D & Blazsek, S & Rentschler, L & Sprenger, C - Intertemporal Choice Experiments and Large-Stakes Behavior (RePEc:col:000561:018985)
by Aycinena, D & Blazsek, S & Rentschler, L & Sprenger, C - Score-driven dynamic patent count panel data models (RePEc:cte:werepe:23458)
by Blazsek, Szabolcs - Dynamic conditional score models with time-varying location, scale and shape parameters (RePEc:cte:werepe:25043)
by Ayala, Astrid & Blazsek, Szabolcs - Score-driven non-linear multivariate dynamic location models (RePEc:cte:werepe:25739)
by Blazsek, Szabolcs & Licht, Adrian - Seasonal quasi-vector autoregressive models for macroeconomic data (RePEc:cte:werepe:26316)
by Blazsek, Szabolcs & Licht, Adrian - Seasonality Detection in Small Samples using Score-Driven Nonlinear Multivariate Dynamic Location Models (RePEc:cte:werepe:27483)
by Blazsek, Szabolcs & Licht, Adrian - Seasonal Quasi-Vector Autoregressive Models with an Application to Crude Oil Production and Economic Activity in the United States and Canada (RePEc:cte:werepe:27484)
by Blazsek, Szabolcs & Licht, Adrian - 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 - Co-integration and common trends analysis with score-driven models : an application to the federal funds effective rate and US inflation rate (RePEc:cte:werepe:28451)
by Blazsek, Szabolcs & Licht, Adrian - 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 - Markov-switching score-driven multivariate models: outlier-robust measurement of the relationships between world crude oil production and US industrial production (RePEc:cte:werepe:29030)
by Blazsek, Szabolcs & Licht, Adrian - Nonlinear common trends for the global crude oil market: Markov-switching score-driven models of the multivariate t-distribution (RePEc:cte:werepe:30346)
by Blazsek, Szabolcs & Licht, Adrian - Dynamic stochastic general equilibrium inference using a score-driven approach (RePEc:cte:werepe:30347)
by Blazsek, Szabolcs & Licht, Adrian - Prediction accuracy of bivariate score-driven risk premium and volatility filters: an illustration for the Dow Jones (RePEc:cte:werepe:31339)
by Blazsek, Szabolcs & Licht, Adrian - Robust estimation and forecasting of climate change using score-driven ice-age models (RePEc:cte:werepe:33453)
by Blazsek, Szabolcs - Score-driven threshold ice-age models: benchmark models for long-run climate forecasts (RePEc:cte:werepe:34757)
by Blazsek, Szabolcs - Global, Arctic, and Antarctic sea ice volume predictions: using score-driven threshold climate models (RePEc:cte:werepe:39546)
by Blazsek, Szabolcs Istvan & Kristof, Erzsebet - Anthropogenic effects of climate change: Further evidence from a fractionally integrated ice-age model (RePEc:cte:werepe:44712)
by Blazsek, Szabolcs & Escribano, Álvaro & Licht, Adrian - Knowledge spillovers in U.S. patents: a dynamic patent intensity model with secret common innovation factors (RePEc:cte:werepe:we098951)
by Blazsek, Szabolcs - Patents, secret innovations and firm's rate of return : differential effects of the innovation leader (RePEc:cte:werepe:we1202)
by Blazsek, Szabolcs - Propensity to patent, R&D and market competition : dynamic spillovers of innovation leaders and followers (RePEc:cte:werepe:we1412)
by Blazsek, Szabolcs - Dynamic conditional score patent count panel data models (RePEc:cte:werepe:we1510)
by Blazsek, Szabolcs - Co-integration with score-driven models: an application to US real GDP growth, US inflation rate, and effective federal funds rate (RePEc:cup:macdyn:v:27:y:2023:i:1:p:203-223_9)
by Blazsek, Szabolcs & Escribano, Alvaro & Licht, Adrian - Non-Gaussian score-driven conditionally heteroskedastic models with a macroeconomic application (RePEc:cup:macdyn:v:28:y:2024:i:1:p:32-50_2)
by Blazsek, Szabolcs & Escribano, Álvaro & Licht, Adrián - Score-driven dynamic patent count panel data models (RePEc:eee:ecolet:v:149:y:2016:i:c:p:116-119)
by Blazsek, Szabolcs & Escribano, Alvaro - Knowledge spillovers in US patents: A dynamic patent intensity model with secret common innovation factors (RePEc:eee:econom:v:159:y:2010:i:1:p:14-32)
by Blazsek, Szabolcs & Escribano, Alvaro - Patent propensity, R&D and market competition: Dynamic spillovers of innovation leaders and followers (RePEc:eee:econom:v:191:y:2016:i:1:p:145-163)
by Blazsek, Szabolcs & Escribano, Alvaro - 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 - Score-driven threshold ice-age models: Benchmark models for long-run climate forecasts (RePEc:eee:eneeco:v:118:y:2023:i:c:s0140988323000208)
by Blazsek, Szabolcs & Escribano, Alvaro - Global, Arctic, and Antarctic sea ice volume predictions using score-driven threshold climate models (RePEc:eee:eneeco:v:134:y:2024:i:c:s0140988324002998)
by Blazsek, Szabolcs & Escribano, Alvaro & Kristof, Erzsebet - Forecasting rate of return after extreme values when using AR-t-GARCH and QAR-Beta-t-EGARCH (RePEc:eee:finlet:v:24:y:2018:i:c:p:193-198)
by Blazsek, Szabolcs & Carrizo, Daniela & Eskildsen, Ricardo & Gonzalez, Humberto - Intertemporal choice experiments and large-stakes behavior (RePEc:eee:jeborg:v:196:y:2022:i:c:p:484-500)
by Aycinena, Diego & Blazsek, Szabolcs & Rentschler, Lucas & Sprenger, Charles - Robust Estimation and Forecasting of Climate Change Using Score-Driven Ice-Age Models (RePEc:gam:jecnmx:v:10:y:2022:i:1:p:9-:d:750387)
by Szabolcs Blazsek & Alvaro Escribano - Score-Driven Interactions for “Disease X” Using COVID and Non-COVID Mortality (RePEc:gam:jecnmx:v:12:y:2024:i:3:p:25-:d:1471346)
by Szabolcs Blazsek & William M. Dos Santos & Andreco S. Edwards - COVID-19 Active Case Forecasts in Latin American Countries Using Score-Driven Models (RePEc:gam:jmathe:v:11:y:2022:i:1:p:136-:d:1017085)
by Sergio Contreras-Espinoza & Francisco Novoa-Muñoz & Szabolcs Blazsek & Pedro Vidal & Christian Caamaño-Carrillo - Renewable energy innovations in Europe: A dynamic panel data approach (RePEc:hal:journl:hal-00711448)
by Pedro Mendi & Nadia Ayari & Szabolcs Blazsek - Knowledge spillovers in U.S. patents: A dynamic patent intensity model with secret common innovation factors (RePEc:hal:journl:hal-00732533)
by Szabolcs Blazsek & Alvaro Escribano - The Liquidity and Liquidity Distribution Effects in Emerging Markets: The Case of Jordan (RePEc:imf:imfwpa:2009/228)
by Mr. Jerome Vandenbussche & Mr. Stanley B Watt & Szabolcs Blazsek - The two-component Beta-t-QVAR-M-lev: a new forecasting model (RePEc:kap:fmktpm:v:37:y:2023:i:4:d:10.1007_s11408-023-00431-4)
by Michel Ferreira Cardia Haddad & Szabolcs Blazsek & Philip Arestis & Franz Fuerst & Hsia Hua Sheng - 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 - Analysis of electricity prices for Central American countries using dynamic conditional score models (RePEc:spr:empeco:v:55:y:2018:i:4:d:10.1007_s00181-017-1341-3)
by Szabolcs Blazsek & Hector Hernández - 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 - Model stability and forecast performance of Beta--EGARCH (RePEc:taf:apeclt:v:23:y:2016:i:17:p:1219-1223)
by Szabolcs Blazsek & Helmuth Chavez & Carlos Mendez - 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 - Prediction accuracy of volatility using the score-driven Meixner distribution: an application to the Dow Jones (RePEc:taf:apeclt:v:29:y:2022:i:2:p:111-117)
by Szabolcs Blazsek & Adrian Licht - Unknown item RePEc:taf:apfiec:v:22:y:2012:i:3:p:231-242 (article)
- Renewable energy innovations in Europe: a dynamic panel data approach (RePEc:taf:applec:44:y:2012:i:24:p:3135-3147)
by Nadia Ayari & Szabolcs Blazsek & Pedro Mendi - Renewable energy innovations in Europe: a dynamic panel data approach (RePEc:taf:applec:v:44:y:2012:i:24:p:3135-3147)
by Nadia Ayari & Szabolcs Blazsek & Pedro Mendi - Is Beta- t -EGARCH(1,1) superior to GARCH(1,1)? (RePEc:taf:applec:v:47:y:2015:i:17:p:1764-1774)
by Szabolcs Blazsek & Marco Villatoro - QARMA-Beta- t -EGARCH versus ARMA-GARCH: an application to S&P 500 (RePEc:taf:applec:v:48:y:2016:i:12:p:1119-1129)
by Szabolcs Blazsek & Vicente Mendoza - 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 - Event-study analysis by using dynamic conditional score models (RePEc:taf:applec:v:49:y:2017:i:45:p:4530-4541)
by Szabolcs Blazsek & Luis Antonio Monteros - Markov regime-switching Beta--EGARCH (RePEc:taf:applec:v:49:y:2017:i:47:p:4793-4805)
by Szabolcs Blazsek & Han-Chiang Ho - Dynamic conditional score models of degrees of freedom: filtering with score-driven heavy tails (RePEc:taf:applec:v:49:y:2017:i:53:p:5426-5440)
by Szabolcs Blazsek & Luis Antonio Monteros - 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 Markov-switching EGARCH models: an application to systematic risk analysis (RePEc:taf:applec:v:50:y:2018:i:56:p:6047-6060)
by Szabolcs Blazsek & Han-Chiang Ho & Su-Ping Liu - 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 - Dynamic conditional score models: a review of their applications (RePEc:taf:applec:v:52:y:2020:i:11:p:1181-1199)
by Szabolcs Blazsek & Adrian Licht - Score-driven cryptocurrency and equity portfolios (RePEc:taf:applec:v:56:y:2024:i:18:p:2109-2128)
by Szabolcs Blazsek & Richard Bowen - 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 - Forecasting hedge fund volatility: a Markov regime-switching approach (RePEc:taf:eurjfi:v:19:y:2013:i:4:p:243-275)
by Szabolcs Blazsek & Anna Downarowicz - 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 - Smoothing, discounting, and demand for intra-household control for recipients of conditional cash transfers (RePEc:taf:recsxx:v:22:y:2019:i:1:p:219-242)
by Diego Aycinena & Szabolcs Blazsek & Lucas Rentschler & Betzy Sandoval - Renewable Energy Innovations in Europe: A Dynamic Panel Data Approach (RePEc:una:unccee:wp1109)
by Nadia Ayari & Szabolcs Blazsek & Pedro Mendi - Regime switching models of hedge fund returns (RePEc:una:unccee:wp1208)
by Szabolcs Blazsek & Anna Downarowicz