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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

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

Forecasting hedge fund volatility : a Markov regime-switching approach

Blazsek, Szabolcs; Downarowicz, Anna - In: The European journal of finance 19 (2013) 3/4, pp. 243-275

Persistent link: https://www.econbiz.de/10010243653

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

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

Analysis of electricity prices for Central American countries using dynamic conditional score models

Blazsek, Szabolcs; Hernández, Hector - In: Empirical economics : a journal of the Institute for … 55 (2018) 4, pp. 1807-1848

Persistent link: https://www.econbiz.de/10011950337

Model stability and forecast performance of Beta-t-EGARCH

Blazsek, Szabolcs; Chavez, Helmuth; Mendez, Carlos - In: Applied economics letters 23 (2016) 16/18, pp. 1219-1223

Persistent link: https://www.econbiz.de/10011701871

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

Markov regime-switching Beta-t-EGARCH

Blazsek, Szabolcs; Ho, Han-Chiang - In: Applied economics 49 (2017) 47, pp. 4793-4805

Persistent link: https://www.econbiz.de/10011844797

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