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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

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

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

Regime-switching purchasing power parity in Latin America : Monte Carlo unit root tests with dynamic conditional score

Ayala, Astrid; Blazsek, Szabolcs; Cuñado Eizaguirre, Juncal - In: Applied economics 48 (2016) 28/30, pp. 2675-2696

Persistent link: https://www.econbiz.de/10011594383

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

Forecasting Hedge Funds Volatility : A Markov Regime-Switching Approach

Blazsek, Szabolcs - 2011

The article focuses on forecasting idiosyncratic hedge fund return volatility using a non-linear Markov switching GARCH (MS-GARCH) framework in which the conditional mean and volatility of systematic and idiosyncratic hedge fund return components may exhibit dynamic Markov switching behaviour....

Persistent link: https://www.econbiz.de/10013129198

Markov-switching score-driven multivariate models : outlier-robust measurement of the relationships between world crude oil production and US industrial production

Blazsek, Szabolcs; Escribano, Álvaro; Licht, Adrian - 2019

Persistent link: https://www.econbiz.de/10012158760

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

Nonlinear common trends for the global crude oil market : Markov-switching score-driven models of the multivariate t-distribution

Blazsek, Szabolcs; Escribano, Álvaro; Licht, Adrian - 2020

Persistent link: https://www.econbiz.de/10012221928

Multivariate Markov-switching score-driven models : an application to the global crude oil market

Blazsek, Szabolcs; Escribano, Álvaro; Licht, Adrian - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 26 (2022) 3, pp. 313-335

Persistent link: https://www.econbiz.de/10013334746