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Publications

by members of

Mercer University → School of Business and Economics

These are publications listed in RePEc written by members of the above institution who are registered with the RePEc Author Service. Thus this compiles the works all those currently affiliated with this institution, not those affilated at the time of publication. List of registered members. Register yourself. Citation analysis. This page is updated in the first days of each month.
| Working papers | Journal articles | Chapters |

Working papers

2025

  1. Blazsek, Szabolcs & Escribano, Álvaro & Ayala, Astrid, 2025, "Improved gradient scaling for score-driven filters with an application to stock market volatility," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía, number 45978, Feb.
  2. Blazsek, Szabolcs & Escribano, Álvaro & Kristóf, Erzsébet, 2025, "Score-driven global climate zones from 1940 to 2024: A new objective climate classification method," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía, number 47800, Aug.

2024

  1. Blazsek, Szabolcs & Escribano, Álvaro & Kristof, Erzsebet, 2024, "Global, Arctic, and Antarctic sea ice volume predictions: using score-driven threshold climate models," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía, number 39546, Jan.
  2. Blazsek, Szabolcs & Escribano, Álvaro & Licht, Adrian, 2024, "Anthropogenic effects of climate change: Further evidence from a fractionally integrated ice-age model," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía, number 44712, Oct.

2022

  1. Blazsek, Szabolcs & Escribano, Álvaro, 2022, "Score-driven threshold ice-age models: benchmark models for long-run climate forecasts," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía, number 34757, May.

2021

  1. Blazsek, Szabolcs & Escribano, Álvaro, 2021, "Robust estimation and forecasting of climate change using score-driven ice-age models," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía, number 33453, Oct.

2020

  1. Diego Aycinena & Szabolcs Blazsek & Lucas Rentschler & Charles Sprenger, 2020, "Intertemporal Choice Experiments and Large-Stakes Behavior," Working Papers, Chapman University, Economic Science Institute, number 20-36.
  2. Blazsek, Szabolcs & Escribano, Álvaro & Licht, Adrian, 2020, "Nonlinear common trends for the global crude oil market: Markov-switching score-driven models of the multivariate t-distribution," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía, number 30346, May.
  3. Blazsek, Szabolcs & Escribano, Álvaro & Licht, Adrian, 2020, "Dynamic stochastic general equilibrium inference using a score-driven approach," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía, number 30347, May.
  4. Blazsek, Szabolcs & Escribano, Álvaro & Licht, Adrian, 2020, "Prediction accuracy of bivariate score-driven risk premium and volatility filters: an illustration for the Dow Jones," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía, number 31339, Nov.

2019

  1. Ayala, Astrid & Blazsek, Szabolcs & Escribano, Álvaro, 2019, "Score-driven time series models with dynamic shape : an application to the Standard & Poor's 500 index," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía, number 28133, Jan.
  2. Blazsek, Szabolcs & Escribano, Álvaro & Licht, Adrian, 2019, "Co-integration and common trends analysis with score-driven models : an application to the federal funds effective rate and US inflation rate," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía, number 28451, May.
  3. Ayala, Astrid & Blazsek, Szabolcs & Escribano, Álvaro, 2019, "Maximum likelihood estimation of score-driven models with dynamic shape parameters : an application to Monte Carlo value-at-risk," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía, number 28638, Jul.
  4. Blazsek, Szabolcs & Escribano, Álvaro & Licht, Adrian, 2019, "Markov-switching score-driven multivariate models: outlier-robust measurement of the relationships between world crude oil production and US industrial production," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía, number 29030, Oct.

2018

  1. Blazsek, Szabolcs & Escribano, Álvaro & Licht, Adrian, 2018, "Seasonal quasi-vector autoregressive models for macroeconomic data," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía, number 26316, Feb.
  2. Blazsek, Szabolcs & Escribano, Álvaro & Licht, Adrian, 2018, "Seasonality Detection in Small Samples using Score-Driven Nonlinear Multivariate Dynamic Location Models," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía, number 27483, Sep.
  3. Blazsek, Szabolcs & Escribano, Álvaro & Licht, Adrian, 2018, "Seasonal Quasi-Vector Autoregressive Models with an Application to Crude Oil Production and Economic Activity in the United States and Canada," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía, number 27484, Sep.

2017

  1. Ayala, Astrid & Blazsek, Szabolcs & Escribano, Álvaro, 2017, "Dynamic conditional score models with time-varying location, scale and shape parameters," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía, number 25043, Jul.
  2. Blazsek, Szabolcs & Escribano, Álvaro & Licht, Adrian, 2017, "Score-driven non-linear multivariate dynamic location models," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía, number 25739, Oct.

2016

  1. Blazsek, Szabolcs & Escribano, Álvaro, 2016, "Score-driven dynamic patent count panel data models," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía, number 23458, Jul.

2015

  1. Blazsek, Szabolcs & Escribano, Álvaro, 2015, "Dynamic conditional score patent count panel data models," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía, number we1510, Nov.

2014

  1. Blazsek, Szabolcs & Escribano, Álvaro, 2014, "Propensity to patent, R&D and market competition : dynamic spillovers of innovation leaders and followers," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía, number we1412, Jun.
  2. Baerg, Nicole Rae & Hotchkiss, Julie L. & Quispe-Agnoli, Myriam, 2014, "Unauthorized Immigration and Electoral Outcomes," MPRA Paper, University Library of Munich, Germany, number 59864, Nov.

2013

  1. David Brown & Serife Genc & Julie Hothckiss & Myriam Quispe-Agnoli, 2013, "Undocumented Workers� Employment across U.S. Business Cycles," Working Papers, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, number 1319.

2012

  1. Blazsek, Szabolcs & Escribano, Álvaro, 2012, "Patents, secret innovations and firm's rate of return : differential effects of the innovation leader," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía, number we1202, Jan.
  2. J. David Brown & Julie L. Hotchkiss & Myriam Quispe-Agnoli, 2012, "Does employing undocumented workers give firms a competitive advantage?," FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta, number 2012-02.
  3. Julie L. Hotchkiss & Myriam Quispe-Agnoli & Fernando Rios-Avila, 2012, "The wage impact of undocumented workers," FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta, number 2012-04.

2011

  1. Pedro Mendi & Nadia Ayari & Szabolcs Blazsek, 2011, "Renewable energy innovations in Europe: A dynamic panel data approach," Post-Print, HAL, number hal-00711448, Jun, DOI: 10.1080/00036846.2011.570720.

2009

  1. Blazsek, Szabolcs & Escribano, Álvaro, 2009, "Knowledge spillovers in U.S. patents: a dynamic patent intensity model with secret common innovation factors," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía, number we098951, Dec.
  2. Mr. Jerome Vandenbussche & Mr. Stanley B Watt & Szabolcs Blazsek, 2009, "The Liquidity and Liquidity Distribution Effects in Emerging Markets: The Case of Jordan," IMF Working Papers, International Monetary Fund, number 2009/228, Oct.
  3. Brown, J. David & Hotchkiss, Julie L. & Quispe-Agnoli, Myriam, 2009, "Undocumented Worker Employment and Firm Survival," IZA Discussion Papers, IZA Network @ LISER, number 3936, Jan.
  4. Julie L. Hotchkiss & Myriam Quispe-Agnoli, 2009, "Employer monopsony power in the labor market for undocumented workers," FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta, number 2009-14.

2008

  1. Szabolcs Blazsek & Anna Downarowicz, 2008, "Regime switching models of hedge fund returns," Faculty Working Papers, School of Economics and Business Administration, University of Navarra, number 12/08, Nov.
  2. Julie L. Hotchkiss & Myriam Quispe-Agnoli, 2008, "The labor market experience and impact of undocumented workers," FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta, number 2008-07.
  3. J. David Brown & Julie L. Hotchkiss & Myriam Quispe-Agnoli, 2008, "Undocumented worker employment and firm survivability," FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta, number 2008-28.

2006

  1. Alberto Melo & Andrés Rodríguez-Clare, 2006, "Productive Development Policies and Supporting Institutions in Latin America and The Caribbean," Research Department Publications, Inter-American Development Bank, Research Department, number 1005, Feb.

2004

  1. Joy Mazumdar & Myriam Quispe-Agnoli, 2004, "Can capital-skill complementarity explain the rising skill premium in developing countries? evidence from Peru," FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta, number 2004-11.

2003

  1. Myriam Quispe-Agnoli, 2003, "Stabilization programs and policy credibility: Peru in the 1990s," FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta, number 2003-40.

2002

  1. Joy Mazumdar & Myriam Quispe-Agnoli, 2002, "Trade and the skill premium in developing countries: the role of intermediate goods and some evidence from Peru," FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta, number 2002-11.

Journal articles

2026

  1. Szabolcs Blazsek & Morgan Hall, 2026, "New score-driven scale and shape interactions: an application to international stock indices," Applied Economics, Taylor & Francis Journals, volume 58, issue 2, pages 293-313, January, DOI: 10.1080/00036846.2025.2452536.
  2. Astrid Loretta Ayala & Szabolcs Blazsek, 2026, "Exogenous, endogenous, and observable switching models of industrial production in the United Kingdom," Applied Economics, Taylor & Francis Journals, volume 58, issue 6, pages 1194-1208, February, DOI: 10.1080/00036846.2025.2464823.
  3. Szabolcs Blazsek & Diego Goirigolzarri & Ari S. Kamau, 2026, "Score-driven credit risk clustering in Guatemala: an extension for unbalanced panels," Applied Economics, Taylor & Francis Journals, volume 58, issue 8, pages 1449-1467, February, DOI: 10.1080/00036846.2025.2467283.

2025

  1. Blazsek Szabolcs & Jörding August & Rai Simran, 2025, "Generalized Autoregressive Conditional Betas: A New Multivariate Score-Driven Filter," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 29, issue 1, pages 95-128, DOI: 10.1515/snde-2023-0019.
  2. Blazsek Szabolcs & Licht Adrian & Ayala Astrid & Liu Su-Ping, 2025, "Core Inflation Rate for China and the ASEAN-10 Countries: Smoothed Signal for Score-Driven Local Level Plus Scale Models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 29, issue 2, pages 177-212, DOI: 10.1515/snde-2023-0042.
  3. Blazsek, Szabolcs & Kong, Dejun & Shadoff, Samantha R., 2025, "Within-regime volatility dynamics for observable- and Markov-switching score-driven models," Finance Research Letters, Elsevier, volume 73, issue C, DOI: 10.1016/j.frl.2024.106631.
  4. Szabolcs Blazsek & Andrés Marroquín & Zachary A. Thomas & C. Asa Lambert, 2025, "Score-driven latent-factor panel data models of economic freedom: an empirical application to the United States," Applied Economics, Taylor & Francis Journals, volume 57, issue 30, pages 4263-4278, June, DOI: 10.1080/00036846.2024.2354515.
  5. Szabolcs Blazsek & Dejun Kong & Samantha R. Shadoff, 2025, "Observable or latent Markov chains for score-driven regime-switching volatility?," Applied Economics, Taylor & Francis Journals, volume 57, issue 52, pages 8693-8709, November, DOI: 10.1080/00036846.2024.2402094.
  6. Szabolcs Blazsek & Allen Lynch & Robert A. Smith, 2025, "Outlier-robust unit root tests for score-driven models: critical values and applications," Applied Economics, Taylor & Francis Journals, volume 57, issue 59, pages 10646-10661, December, DOI: 10.1080/00036846.2024.2439129.

2024

  1. Blazsek Szabolcs & Escribano Alvaro & Licht Adrian, 2024, "Score-driven location plus scale models: asymptotic theory and an application to forecasting Dow Jones volatility," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 28, issue 1, pages 61-82, February, DOI: 10.1515/snde-2021-0083.
  2. Ayala Astrid & Blazsek Szabolcs & Licht Adrian, 2024, "Volatility Forecasting Using Quasi-Score-Driven Models with an Application to the Coronavirus Pandemic Period," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 28, issue 5, pages 785-805, DOI: 10.1515/snde-2022-0085.
  3. Blazsek, Szabolcs & Escribano, Álvaro & Licht, Adrián, 2024, "Non-Gaussian score-driven conditionally heteroskedastic models with a macroeconomic application," Macroeconomic Dynamics, Cambridge University Press, volume 28, issue 1, pages 32-50, January.
  4. Blazsek, Szabolcs & Escribano, Alvaro & Kristof, Erzsebet, 2024, "Global, Arctic, and Antarctic sea ice volume predictions using score-driven threshold climate models," Energy Economics, Elsevier, volume 134, issue C, DOI: 10.1016/j.eneco.2024.107591.
  5. Szabolcs Blazsek & William M. Dos Santos & Andreco S. Edwards, 2024, "Score-Driven Interactions for “Disease X” Using COVID and Non-COVID Mortality," Econometrics, MDPI, volume 12, issue 3, pages 1-24, September.
  6. Szabolcs Blazsek & Richard Bowen, 2024, "Score-driven cryptocurrency and equity portfolios," Applied Economics, Taylor & Francis Journals, volume 56, issue 18, pages 2109-2128, April, DOI: 10.1080/00036846.2023.2182406.
  7. Astrid Loretta Ayala & Szabolcs Blazsek & Adrian Licht, 2024, "Score function scaling for QAR plus Beta-t-EGARCH: an empirical application to the S&P 500," Applied Economics, Taylor & Francis Journals, volume 56, issue 31, pages 3684-3697, July, DOI: 10.1080/00036846.2023.2208335.

2023

  1. Blazsek Szabolcs & Blazsek Virag & Kobor Adam, 2023, "Conservatorship, quantitative easing, and mortgage spreads: a new multi-equation score-driven model of policy actions," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 27, issue 2, pages 237-264, April, DOI: 10.1515/snde-2021-0066.
  2. Ayala Astrid & Blazsek Szabolcs & Escribano Alvaro, 2023, "Anticipating extreme losses using score-driven shape filters," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 27, issue 4, pages 449-484, September, DOI: 10.1515/snde-2021-0102.
  3. Blazsek Szabolcs & Haddad Michel Ferreira Cardia, 2023, "Score-driven multi-regime Markov-switching EGARCH: empirical evidence using the Meixner distribution," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 27, issue 4, pages 589-634, September, DOI: 10.1515/snde-2021-0101.
  4. Ayala Astrid & Blazsek Szabolcs & Licht Adrian, 2023, "Comparison of Score-Driven Equity-Gold Portfolios During the COVID-19 Pandemic Using Model Confidence Sets," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 27, issue 5, pages 705-731, December, DOI: 10.1515/snde-2022-0107.
  5. Blazsek, Szabolcs & Escribano, Alvaro & Licht, Adrian, 2023, "Co-integration with score-driven models: an application to US real GDP growth, US inflation rate, and effective federal funds rate," Macroeconomic Dynamics, Cambridge University Press, volume 27, issue 1, pages 203-223, January.
  6. Blazsek, Szabolcs & Escribano, Alvaro, 2023, "Score-driven threshold ice-age models: Benchmark models for long-run climate forecasts," Energy Economics, Elsevier, volume 118, issue C, DOI: 10.1016/j.eneco.2023.106522.
  7. Michel Ferreira Cardia Haddad & Szabolcs Blazsek & Philip Arestis & Franz Fuerst & Hsia Hua Sheng, 2023, "The two-component Beta-t-QVAR-M-lev: a new forecasting model," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 37, issue 4, pages 379-401, December, DOI: 10.1007/s11408-023-00431-4.
  8. Ngene, Geoffrey M. & Tah, Kenneth A., 2023, "How are policy uncertainty, real economy, and financial sector connected?," Economic Modelling, Elsevier, volume 123, issue C, DOI: 10.1016/j.econmod.2023.106291.

2022

  1. Blazsek Szabolcs & Escribano Alvaro & Licht Adrian, 2022, "Multivariate Markov-switching score-driven models: an application to the global crude oil market," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 26, issue 3, pages 313-335, June, DOI: 10.1515/snde-2020-0099.
  2. Aycinena, Diego & Blazsek, Szabolcs & Rentschler, Lucas & Sprenger, Charles, 2022, "Intertemporal choice experiments and large-stakes behavior," Journal of Economic Behavior & Organization, Elsevier, volume 196, issue C, pages 484-500, DOI: 10.1016/j.jebo.2022.02.011.
  3. Szabolcs Blazsek & Alvaro Escribano, 2022, "Robust Estimation and Forecasting of Climate Change Using Score-Driven Ice-Age Models," Econometrics, MDPI, volume 10, issue 1, pages 1-29, February.
  4. Sergio Contreras-Espinoza & Francisco Novoa-Muñoz & Szabolcs Blazsek & Pedro Vidal & Christian Caamaño-Carrillo, 2022, "COVID-19 Active Case Forecasts in Latin American Countries Using Score-Driven Models," Mathematics, MDPI, volume 11, issue 1, pages 1-17, December.
  5. Astrid Ayala & Szabolcs Blazsek & Adrian Licht, 2022, "Score-driven stochastic seasonality of the Russian rouble: an application case study for the period of 1999 to 2020," Empirical Economics, Springer, volume 62, issue 5, pages 2179-2203, May, DOI: 10.1007/s00181-021-02103-6.
  6. Szabolcs Blazsek & Adrian Licht, 2022, "Prediction accuracy of volatility using the score-driven Meixner distribution: an application to the Dow Jones," Applied Economics Letters, Taylor & Francis Journals, volume 29, issue 2, pages 111-117, January, DOI: 10.1080/13504851.2020.1859445.
  7. Kenneth A. Tah, 2022, "Determinants of Interest rate swap spreads: A quantile regression approach," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 46, issue 3, pages 522-534, July, DOI: 10.1007/s12197-022-09574-y.

2021

  1. Blazsek Szabolcs & Escribano Alvaro & Licht Adrian, 2021, "Identification of Seasonal Effects in Impulse Responses Using Score-Driven Multivariate Location Models," Journal of Econometric Methods, De Gruyter, volume 10, issue 1, pages 53-66, January, DOI: 10.1515/jem-2020-0003.
  2. Astrid Loretta Ayala & Szabolcs Blazsek, 2021, "Score-driven panel data models of the capital structure of US firms," Applied Economics Letters, Taylor & Francis Journals, volume 28, issue 19, pages 1666-1670, November, DOI: 10.1080/13504851.2020.1845293.
  3. Kenneth A. Tah & Geoffrey Ngene, 2021, "Dynamic linkages between US and Eurodollar interest rates: new evidence from causality in quantiles," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 45, issue 1, pages 200-210, January, DOI: 10.1007/s12197-020-09533-5.
  4. Kenneth A. Tah & Courtney Czerniak & Alexa Levine & Kylie Wiggin & Iheanyi N. Osondu, 2021, "Foreign trade and economic growth in South Africa," Asia-Pacific Journal of Accounting & Economics, Taylor & Francis Journals, volume 28, issue 4, pages 472-481, July, DOI: 10.1080/16081625.2019.1567352.

2020

  1. Szabolcs Blazsek & Adrian Licht, 2020, "Dynamic conditional score models: a review of their applications," Applied Economics, Taylor & Francis Journals, volume 52, issue 11, pages 1181-1199, March, DOI: 10.1080/00036846.2019.1659498.
  2. Kenneth A. Tah & James R. Griggers & Lee C. Greenberger, 2020, "The check clearing for the 21st century act and bank stock returns," Cogent Business & Management, Taylor & Francis Journals, volume 7, issue 1, pages 1832031-183, January, DOI: 10.1080/23311975.2020.1832031.

2019

  1. Astrid Ayala & Szabolcs Blazsek, 2019, "Score-driven currency exchange rate seasonality as applied to the Guatemalan Quetzal/US Dollar," SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, volume 10, issue 1, pages 65-92, March, DOI: 10.1007/s13209-018-0186-0.
  2. Astrid Ayala & Szabolcs Blazsek, 2019, "Score-driven models of stochastic seasonality in location and scale: an application case study of the Indian rupee to USD exchange rate," Applied Economics, Taylor & Francis Journals, volume 51, issue 37, pages 4083-4103, August, DOI: 10.1080/00036846.2019.1588952.
  3. Diego Aycinena & Szabolcs Blazsek & Lucas Rentschler & Betzy Sandoval, 2019, "Smoothing, discounting, and demand for intra-household control for recipients of conditional cash transfers," Journal of Applied Economics, Taylor & Francis Journals, volume 22, issue 1, pages 219-242, January, DOI: 10.1080/15140326.2019.1596641.
  4. Kenneth A. Tah, 2019, "Securitisation, loan specialisation and bank risk," International Journal of Banking, Accounting and Finance, Inderscience Enterprises Ltd, volume 10, issue 2, pages 213-229.
  5. Kenneth A. Tah, 2019, "Remittances and financial access: Evidence from Sub-Saharan Africa," Cogent Economics & Finance, Taylor & Francis Journals, volume 7, issue 1, pages 1570581-157, January, DOI: 10.1080/23322039.2019.1570581.

2018

  1. Blazsek, Szabolcs & Carrizo, Daniela & Eskildsen, Ricardo & Gonzalez, Humberto, 2018, "Forecasting rate of return after extreme values when using AR-t-GARCH and QAR-Beta-t-EGARCH," Finance Research Letters, Elsevier, volume 24, issue C, pages 193-198, DOI: 10.1016/j.frl.2017.09.006.
  2. Szabolcs Blazsek & Hector Hernández, 2018, "Analysis of electricity prices for Central American countries using dynamic conditional score models," Empirical Economics, Springer, volume 55, issue 4, pages 1807-1848, December, DOI: 10.1007/s00181-017-1341-3.
  3. Astrid Ayala & Szabolcs Blazsek, 2018, "Equity market neutral hedge funds and the stock market: an application of score-driven copula models," Applied Economics, Taylor & Francis Journals, volume 50, issue 37, pages 4005-4023, August, DOI: 10.1080/00036846.2018.1440062.
  4. Szabolcs Blazsek & Han-Chiang Ho & Su-Ping Liu, 2018, "Score-driven Markov-switching EGARCH models: an application to systematic risk analysis," Applied Economics, Taylor & Francis Journals, volume 50, issue 56, pages 6047-6060, December, DOI: 10.1080/00036846.2018.1488073.
  5. Astrid Ayala & Szabolcs Blazsek, 2018, "Score-driven copula models for portfolios of two risky assets," The European Journal of Finance, Taylor & Francis Journals, volume 24, issue 18, pages 1861-1884, December, DOI: 10.1080/1351847X.2018.1464488.
  6. Kenneth A. Tah, 2018, "Random walk and structural break in exchange rates," International Journal of Monetary Economics and Finance, Inderscience Enterprises Ltd, volume 11, issue 4, pages 384-393.

2017

  1. Szabolcs Blazsek & Luis Antonio Monteros, 2017, "Event-study analysis by using dynamic conditional score models," Applied Economics, Taylor & Francis Journals, volume 49, issue 45, pages 4530-4541, September, DOI: 10.1080/00036846.2017.1284996.
  2. Szabolcs Blazsek & Han-Chiang Ho, 2017, "Markov regime-switching Beta--EGARCH," Applied Economics, Taylor & Francis Journals, volume 49, issue 47, pages 4793-4805, October, DOI: 10.1080/00036846.2017.1293794.
  3. Szabolcs Blazsek & Luis Antonio Monteros, 2017, "Dynamic conditional score models of degrees of freedom: filtering with score-driven heavy tails," Applied Economics, Taylor & Francis Journals, volume 49, issue 53, pages 5426-5440, November, DOI: 10.1080/00036846.2017.1307935.
  4. Ngene, Geoffrey & Tah, Kenneth A. & Darrat, Ali F., 2017, "Long memory or structural breaks: Some evidence for African stock markets," Review of Financial Economics, Elsevier, volume 34, issue C, pages 61-73, DOI: 10.1016/j.rfe.2017.06.003.
  5. Geoffrey Ngene & Kenneth A. Tah & Ali F. Darrat, 2017, "The random-walk hypothesis revisited: new evidence on multiple structural breaks in emerging markets," Macroeconomics and Finance in Emerging Market Economies, Taylor & Francis Journals, volume 10, issue 1, pages 88-106, January, DOI: 10.1080/17520843.2016.1210189.

2016

  1. Blazsek, Szabolcs & Escribano, Alvaro, 2016, "Score-driven dynamic patent count panel data models," Economics Letters, Elsevier, volume 149, issue C, pages 116-119, DOI: 10.1016/j.econlet.2016.10.026.
  2. Blazsek, Szabolcs & Escribano, Alvaro, 2016, "Patent propensity, R&D and market competition: Dynamic spillovers of innovation leaders and followers," Journal of Econometrics, Elsevier, volume 191, issue 1, pages 145-163, DOI: 10.1016/j.jeconom.2015.10.005.
  3. Szabolcs Blazsek & Helmuth Chavez & Carlos Mendez, 2016, "Model stability and forecast performance of Beta--EGARCH," Applied Economics Letters, Taylor & Francis Journals, volume 23, issue 17, pages 1219-1223, November, DOI: 10.1080/13504851.2016.1145343.
  4. Szabolcs Blazsek & Vicente Mendoza, 2016, "QARMA-Beta- t -EGARCH versus ARMA-GARCH: an application to S&P 500," Applied Economics, Taylor & Francis Journals, volume 48, issue 12, pages 1119-1129, March, DOI: 10.1080/00036846.2015.1093086.
  5. Astrid Ayala & Szabolcs Blazsek & Juncal Cuñado & Luis Albériko Gil-Alana, 2016, "Regime-switching purchasing power parity in Latin America: Monte Carlo unit root tests with dynamic conditional score," Applied Economics, Taylor & Francis Journals, volume 48, issue 29, pages 2675-2696, June, DOI: 10.1080/00036846.2015.1128076.
  6. Kenneth A. Tah & Oscar Martinez, 2016, "The effects of securitized asset portfolio specialization on bank holding company’s return, and risk," Studies in Economics and Finance, Emerald Group Publishing Limited, volume 33, issue 4, pages 679-687, October, DOI: 10.1108/SEF-11-2015-0267.

2015

  1. Szabolcs Blazsek & Marco Villatoro, 2015, "Is Beta- t -EGARCH(1,1) superior to GARCH(1,1)?," Applied Economics, Taylor & Francis Journals, volume 47, issue 17, pages 1764-1774, April, DOI: 10.1080/00036846.2014.1000536.

2014

  1. J. David Brown & Serife Genc & Julie L. Hotchkiss & Myriam Quispe-Agnoli, 2014, "Undocumented Workers' Employment Across U.S. Business Cycles," Contemporary Economic Policy, Western Economic Association International, volume 32, issue 3, pages 653-670, July.

2013

  1. Ayala, Astrid & Blazsek, Szabolcs, 2013, "Structural breaks in public finances in Central and Eastern European countries," Economic Systems, Elsevier, volume 37, issue 1, pages 45-60, DOI: 10.1016/j.ecosys.2012.06.004.
  2. Szabolcs Blazsek & Anna Downarowicz, 2013, "Forecasting hedge fund volatility: a Markov regime-switching approach," The European Journal of Finance, Taylor & Francis Journals, volume 19, issue 4, pages 243-275, April, DOI: 10.1080/1351847X.2011.653576.
  3. J. David Brown & Julie L. Hotchkiss & Myriam Quispe-Agnoli, 2013, "Does Employing Undocumented Workers Give Firms A Competitive Advantage?," Journal of Regional Science, Wiley Blackwell, volume 53, issue 1, pages 158-170, February, DOI: jors.12009.
  4. Julie L. Hotchkiss & Myriam Quispe‐Agnoli, 2013, "The Expected Impact of State Immigration Legislation on Labor Market Outcomes," Journal of Policy Analysis and Management, John Wiley & Sons, Ltd., volume 32, issue 1, pages 34-59, January.
  5. Kenneth A TAH, 2013, "Predictability Of Major Swedish Exchange Rates," Journal of Advanced Studies in Finance, ASERS Publishing, volume 4, issue 1, pages 62-69.

2012

  1. Astrid Ayala & Szabolcs Blazsek, 2012, "How has the financial crisis affected the fiscal convergence of Central and Eastern Europe to the Eurozone?," Applied Economics Letters, Taylor & Francis Journals, volume 19, issue 5, pages 471-476, March, DOI: 10.1080/13504851.2011.583212.
  2. J�rôme Vandenbussche & Szabolcs Blazsek & Stanley Watt, 2012, "The liquidity and liquidity distribution effects in emerging markets: evidence from Jordan," Applied Financial Economics, Taylor & Francis Journals, volume 22, issue 3, pages 231-242, February, DOI: 10.1080/09603107.2011.610740.
  3. Nadia Ayari & Szabolcs Blazsek & Pedro Mendi, 2012, "Renewable energy innovations in Europe: a dynamic panel data approach," Applied Economics, Taylor & Francis Journals, volume 44, issue 24, pages 3135-3147, August, DOI: 10.1080/00036846.2011.570720.

2010

  1. Blazsek, Szabolcs & Escribano, Alvaro, 2010, "Knowledge spillovers in US patents: A dynamic patent intensity model with secret common innovation factors," Journal of Econometrics, Elsevier, volume 159, issue 1, pages 14-32, November.

2008

  1. Myriam Quispe-Agnoli & Camilo E. Tovar, 2008, "New financing trends in Latin America : an overview of selected issues and policy challenges," Economic Review, Federal Reserve Bank of Atlanta, volume 93, issue 3.

2006

  1. Myriam Quispe-Agnoli & Elena Whisler, 2006, "Official dollarization and the banking system in Ecuador and El Salvador," Economic Review, Federal Reserve Bank of Atlanta, volume 91, issue Q 3, pages 55-71.

2004

  1. Eduardo Lora & Ugo Panizza & Myriam Quispe-Agnoli, 2004, "Reform fatigue: symptoms, reasons, and implications," Economic Review, Federal Reserve Bank of Atlanta, volume 89, issue Q 2, pages 1-28.

2002

  1. Myriam Quispe-Agnoli & Madeline Zavodny, 2002, "The effect of immigration on output mix, capital, and productivity," Economic Review, Federal Reserve Bank of Atlanta, volume 87, issue Q1, pages 17-27.
  2. Stephen J. Kay & Myriam Quispe-Agnoli, 2002, "A mixed blessing: oil and Latin American economies," EconSouth, Federal Reserve Bank of Atlanta, volume 4, issue Q3, pages 8-13.
  3. Stephen J. Kay & Myriam Quispe-Agnoli, 2002, "Argentina: the end of convertibility," EconSouth, Federal Reserve Bank of Atlanta, volume 4, issue Q1, pages 14-19.

2001

  1. Myriam Quispe-Agnoli, 2001, "Monetary policy alternatives for Latin America," Economic Review, Federal Reserve Bank of Atlanta, volume 86, issue Q3, pages 43-53.
  2. Myriam Quispe-Agnoli, 2001, "Dollarization: will the quick fix pay off in the long run?," EconSouth, Federal Reserve Bank of Atlanta, volume 3, issue Q1, pages 14-19.

1987

  1. Myriam Quispe, 1987, "Relaciones de causalidad entre gastos e ingresos del Gobierno," Revista Economía, Fondo Editorial - Pontificia Universidad Católica del Perú, volume 0, issue 19, pages 59-90.

Chapters

2015

  1. Astrid Ayala & Szabolcs Blazsek & Raúl B. González Paz, 2015, "Default Risk of Sovereign Debt in Central America," Palgrave Macmillan Books, Palgrave Macmillan, chapter 2, in: Nigel Finch, "Emerging Markets and Sovereign Risk", DOI: 10.1057/9781137450661_2.

2012

  1. Fátima Ponce Regalado & Myriam Quispe Agnoli, 2012, "¿Todos vuelven? Políticas para el retorno de talentos en el nuevo milenio," Capítulos de Libros PUCP / Chapters of PUCP books, Fondo Editorial - Pontificia Universidad Católica del Perú, chapter 4, in: Cecilia Garavito & Ismael Muñoz, "EMPLEO Y PROTECCIÓN SOCIAL".

2010

  1. Fátima Ponce & Myriam Quispe, 2010, "Políticas comerciales internacionales y la estructura del comercio exterior peruano," Capítulos de Libros PUCP / Chapters of PUCP books, Fondo Editorial - Pontificia Universidad Católica del Perú, chapter 8, in: José Rodríguez & Mario Tello, "Opciones de política económica en el Perú 2011-2015".

2008

  1. Myriam Quispe-Agnoli & Diego Vilán, 2008, "Financing trends in Latin America," BIS Papers chapters, Bank for International Settlements, in: Bank for International Settlements, "New financing trends in Latin America: a bumpy road towards stability".
  2. Camilo E Tovar & Myriam Quispe-Agnoli, 2008, "New financing trends in Latin America," BIS Papers chapters, Bank for International Settlements, in: Bank for International Settlements, "New financing trends in Latin America: a bumpy road towards stability".

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