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VAR model
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dynamic conditional score (DCS)
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Blazsek, Szabolcs
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ECONIS (ZBW)
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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
Saved in:
2
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
Saved in:
3
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
Saved in:
4
Patent propensity, R&D and market competition : dynamic spillovers of innovation leaders and followers
Blazsek, Szabolcs
;
Escribano, Álvaro
- In:
Journal of econometrics
191
(
2016
)
1
,
pp. 145-163
Persistent link: https://www.econbiz.de/10011594700
Saved in:
5
Seasonal quasi-vector autoregressive models for macroeconomic data
Blazsek, Szabolcs
;
Escribano, Álvaro
;
Licht, Adrian
-
2018
Persistent link: https://www.econbiz.de/10011799946
Saved in:
6
Score-driven non-linear multivariate dynamic location models
Blazsek, Szabolcs
;
Escribano, Álvaro
;
Licht, Adrian
-
2017
Persistent link: https://www.econbiz.de/10011800285
Saved in:
7
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
Saved in:
8
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
Saved in:
9
Co-integration and common trends analysis with score-driven models : an application to the federal funds effective rate and US inflation rate
Blazsek, Szabolcs
;
Escribano, Álvaro
;
Licht, Adrian
-
2019
Persistent link: https://www.econbiz.de/10012100515
Saved in:
10
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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