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Identification of seasonal effects in impulse responses using score-driven multivariate location models
Blazsek, Szabolcs; Escribano, Álvaro; Licht, Adrian - In: Journal of econometric methods 10 (2021) 1, pp. 53-66
Persistent link: https://www.econbiz.de/10012437812
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Score-driven location plus scale models : asymptotic theory and an application to forecasting Dow Jones volatility
Blazsek, Szabolcs; Escribano, Álvaro; Licht, Adrian - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 28 (2024) 1, pp. 61-82
Persistent link: https://www.econbiz.de/10014506888
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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
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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
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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
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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
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Intertemporal optimization and nonlinear error-correction models
Escribano, Álvaro; Pfann, Gerard A. - 1993
Persistent link: https://www.econbiz.de/10000874379
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A new instrumental variable approach for estimation and testing in fractional cointegrating regressions
Mármol, Francesc; Escribano, Álvaro; Aparicio, Felipe M. - 1999
Persistent link: https://www.econbiz.de/10001362049
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Non-linear error correction, asymmetric adjustment and cointegration
Escribano, Álvaro - In: Economic modelling 15 (1998) 2, pp. 197-216
Persistent link: https://www.econbiz.de/10001247645
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Unbiased QML estimation of log-GARCH models in the presence of zero returns
Sucarrat, Genaro; Escribano, Álvaro - 2013
Persistent link: https://www.econbiz.de/10010476962