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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
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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
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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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Score-driven non-linear multivariate dynamic location models
Blazsek, Szabolcs; Escribano, Álvaro; Licht, Adrian - 2017
Persistent link: https://www.econbiz.de/10011800285
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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
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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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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
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Dynamic stochastic general equilibrium inference using a score-driven approach
Blazsek, Szabolcs; Escribano, Álvaro; Licht, Adrian - 2020
Persistent link: https://www.econbiz.de/10012221929
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Prediction accuracy of bivariate score-driven risk premium and volatility filters : an illustration for the Dow Jones
Blazsek, Szabolcs; Escribano, Álvaro; Licht, Adrian - 2020
Persistent link: https://www.econbiz.de/10012310604
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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