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Fractional integration in total factor productivity : evidence from US data

Gil-Alaña, Luis A.; Mendi, Pedro - In: Applied economics 37 (2005) 12, pp. 1369-1383

Persistent link: https://www.econbiz.de/10003020145

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

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

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

Seasonality detection in small samples using score-driven nonlinear multivariate dynamic location models

Blazsek, Szabolcs; Escribano, Álvaro; Licht, Adrian - 2018

Persistent link: https://www.econbiz.de/10011914526

Seasonal quasi-vector autoregressive models with an application to crude oil production and economic activity in the United States and Canada

Blazsek, Szabolcs; Escribano, Álvaro; Licht, Adrian - 2018

Persistent link: https://www.econbiz.de/10011914528

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

Seasonal quasi-vector autoregressive models for macroeconomic data

Blazsek, Szabolcs; Escribano, Álvaro; Licht, Adrian - 2018

Persistent link: https://www.econbiz.de/10011799946

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