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Score-driven multi-regime Markov-switching EGARCH : empirical evidence using the Meixner distribution
Blazsek, Szabolcs; Haddad, Michel Ferreira Cardia - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 27 (2023) 4, pp. 589-634
Persistent link: https://www.econbiz.de/10014372917
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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
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Is Beta-t-EGARCH(1,1) superior to GARCH(1,1)?
Blazsek, Szabolcs; Villatoro, Marco - In: Applied economics 47 (2015) 16/18, pp. 1764-1774
Persistent link: https://www.econbiz.de/10010511965
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QARMA-Beta-t-EGARCH versus ARMA-GARCH : an application to S & P 500
Blazsek, Szabolcs; Mendoza, Vicente - In: Applied economics 48 (2016) 10/12, pp. 1119-1129
Persistent link: https://www.econbiz.de/10011432926
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Event-study analysis by using dynamic conditional score models
Blazsek, Szabolcs; Monteros, Luis Antonio - In: Applied economics 49 (2017) 45, pp. 4530-4541
Persistent link: https://www.econbiz.de/10011844230
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Dynamic conditional score models of degrees of freedom : filtering with score-driven heavy tails
Blazsek, Szabolcs; Monteros, Luis Antonio - In: Applied economics 49 (2017) 53, pp. 5426-5440
Persistent link: https://www.econbiz.de/10011845187
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Dynamic conditional score models : a review of their applications
Blazsek, Szabolcs; Licht, Adrian - In: Applied economics 52 (2020) 11, pp. 1181-1199
Persistent link: https://www.econbiz.de/10012197522
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Score-driven Markov-switching EGARCH models : an application to systematic risk analysis
Blazsek, Szabolcs; Ho, Han-Chiang; Liu, Su-Ping - In: Applied economics 50 (2018) 56, pp. 6047-6060
Persistent link: https://www.econbiz.de/10012063386
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Prediction accuracy of volatility using the score-driven Meixner distribution : an application to the Dow Jones
Blazsek, Szabolcs; Licht, Adrian - In: Applied economics letters 29 (2022) 2, pp. 111-117
Persistent link: https://www.econbiz.de/10012803390
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Prediction accuracy of bivariate score-driven risk premium and volatility filters : an illustration for the Dow Jones
Blazsek, Szabolcs; Escribano, Álvaro; Licht, Adrian - 2020
Persistent link: https://www.econbiz.de/10012310604