Search Results - subject:"Score"

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

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 global climate zones from 1940 to 2024 : a new objective climate classification method

Blazsek, Szabolcs; Escribano, Álvaro; Kristóf, Erzsébet - In: Energy economics 156 (2026), pp. 1-24

Persistent link: https://www.econbiz.de/10015635003

Proper and Robust Autoregressive Derivative Adaptive models

Punder, Ramon de - 2026

This paper introduces the class of Proper and Robust Autoregressive Derivative Adaptive (PRADA) models, extending score … information-theoretic foundation of score-driven models beyond the Kullback-Leibler divergence. They are interpreted as the online …, establish robustness through bounded and censored updates, and encompass many existing score-driven inspired models as special …

Persistent link: https://www.econbiz.de/10015644878

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

New score-driven scale and shape interactions : an application to international stock indices

Blazsek, Szabolcs; Hall, Morgan - In: Applied economics 58 (2026) 2, pp. 293-313

Persistent link: https://www.econbiz.de/10015633524

Score-driven expected return and volatility spillovers between the Indian and United States stock markets

Blazsek, Szabolcs; Subrahmanyam, Vijaya; Ayala, Astrid … - In: Applied economics 58 (2026) 12, pp. 2364-2382

Persistent link: https://www.econbiz.de/10015636731

Detecting corporate ESG performance : the role of ESG materiality in corporate financial performance and risks

Yang, Sharon S.; Huang, Jr-Wei; Chen, Hong-Yi; Tsay, … - In: The North American journal of economics and finance : a … 76 (2025), pp. 1-20

Persistent link: https://www.econbiz.de/10015372590

A causal analysis of environmental and financial performance : differences between brown and green firms

Vashisht, Rupali; Calvo Pardo, Héctor F.; Olmo, Jose - In: Economic modelling 144 (2025), pp. 1-21

Persistent link: https://www.econbiz.de/10015193701

How can data manipulation matter in predicting the failure risk? : evidence from Romanian companies

Capraș, Isabella Lucuţ; Achim, Monica Violeta; Hint, … - In: Journal of business economics and management 26 (2025) 1, pp. 110-126

, the findings indicate that there is no statistically significant correlation between the Beneish Model and the Altman Z-score …

Persistent link: https://www.econbiz.de/10015413404