Search Results - person:"Blazsek, Szabolcs"

Improved gradient scaling for score-driven filters with an application to stock market volatility

Blazsek, Szabolcs; Escribano, Álvaro; Ayala, Astrid - 2025

Persistent link: https://www.econbiz.de/10015396160

Score-driven interactions for "disease x" using covid and non-covid mortality

Blazsek, Szabolcs; Dos Santos, William M.; Edwards, … - In: Econometrics : open access journal 12 (2024) 3, pp. 1-24

The COVID-19 (coronavirus disease of 2019) pandemic is over; however, the probability of such a pandemic is about 2% in any year. There are international negotiations among almost 200 countries at the World Health Organization (WHO) concerning a global plan to deal with the next pandemic on the...

Persistent link: https://www.econbiz.de/10015133930

Non-Gaussian score-driven conditionally heteroskedastic models with a macroeconomic application

Blazsek, Szabolcs; Escribano, Álvaro; Licht, Adrián - In: Macroeconomic dynamics 28 (2024) 1, pp. 32-50

Persistent link: https://www.econbiz.de/10014465380

Global, Arctic, and Antarctic sea ice volume predictions : using score-driven threshold climate models

Blazsek, Szabolcs; Escribano, Álvaro; Kristof, Erzsebet - 2024

Persistent link: https://www.econbiz.de/10014517265

Anthropogenic effects of climate change : further evidence from a fractionally integrated ice-age model

Blazsek, Szabolcs; Escribano, Álvaro; Licht, Adrian - 2024

Persistent link: https://www.econbiz.de/10015110731

Anticipating extreme losses using score-driven shape filters

Ayala, Astrid; Blazsek, Szabolcs; Escribano, Álvaro - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 27 (2023) 4, pp. 449-484

Persistent link: https://www.econbiz.de/10014372905

Co-integration with score-driven models : an application to US real GDP growth, US inflation rate, and effective federal funds rate

Blazsek, Szabolcs; Escribano, Álvaro; Licht, Adrian - In: Macroeconomic dynamics 27 (2023) 1, pp. 203-223

Persistent link: https://www.econbiz.de/10014247362

The two-component Beta-t-QVAR-M-lev : a new forecasting model

Haddad, Michel Ferreira Cardia; Blazsek, Szabolcs; … - In: Financial markets and portfolio management 37 (2023) 4, pp. 379-401

Persistent link: https://www.econbiz.de/10014420497

Within-regime volatility dynamics for observable- and Markov-switching score-driven models

Blazsek, Szabolcs; Kong, Dejun; Shadoff, Samantha R. - In: Finance research letters 73 (2025), pp. 1-8

Persistent link: https://www.econbiz.de/10015210430

Robust estimation and forecasting of climate change using score-driven ice-age models

Blazsek, Szabolcs; Escribano, Álvaro - In: Econometrics : open access journal 10 (2022) 1, pp. 1-29

We use data on the following climate variables for the period of the last 798 thousand years: global ice volume (Icet), atmospheric carbon dioxide level (CO2,t), and Antarctic land surface temperature (Tempt). Those variables are cyclical and are driven by the following strongly exogenous...

Persistent link: https://www.econbiz.de/10013041132

1
2
3
4
5
6
7
8
9
10
Next
Last