Discussion Papers
The GESG publishes a Discussion Paper Series to which researchers are invited to submit papers. Articles undergo an initial referring process under the responsibility of the Secretary. Papers are submitted by e-mail to the Secretary who chooses a referee. The referring process is mostly informal and hopefully consists of an open discussion between the author and the referee. Final decisions are made by the Secretary. All Discussion Papers are to be presented in a Research Seminar.
Discussion Papers
Discussion Paper 4/2022: Szabolcs Blazsek, Astrid Loretta Ayala & Adrian Licht (2022)
Optimal Choice of the Scaling Parameters in Score-Driven Filters.
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Discussion Paper 3/2022: Astrid Ayala, Szabolcs Blazsek and Adrian Licht (2022)
A short note on the scaling parameter in score-driven filters.
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Discussion Paper 2/2022: Szabolcs Blazsek and Richard Bowen (2022).
Score-driven cryptocurrency and equity portfolios.
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Discussion Paper 1/2022: Astrid Ayala, Szabolcs Blazsek and Adrián Licht (2022)
Score-driven equity plus gold portfolios before and during the COVID-19 pandemic.
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Discussion Paper 3/2021: Szabolcs Blazsek, Virág Ilona Blazsek and Ádám Kóbor (2021)
Conservatorship, quantitative easing, and mortgage spreads: A new multi-equation score-driven model of policy actions.
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Discussion Paper 2/2021: Astrid Ayala, Szabolcs Blazsek and Adrián Licht (2021)
Volatility forecasting for the coronavirus pandemic using quasi-score-driven models.
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Discussion Paper 1/2021: Astrid Ayala, Szabolcs Blazsek and Adrián Licht (2021)
Optimal signal extraction for score-driven models.
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Discussion Paper 4/2020: Szabolcs Blazsek and Adrian Licht (2020)
Robust score-driven inference of stochastic seasonality of the Russian rouble for different currency exchange rate regimes from 1999 to 2020.
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Discussion Paper 3/2020: Astrid Ayala and Szabolcs Blazsek (2020)
Dynamic analysis of the capital structure of S&P 500 firms under unconventional monetary policy using score-driven panel data models.
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Discussion Paper 2/2020: Szabolcs Blazsek (2020)
Score-driven QAR EGARCH-M model of risk premium and volatility for the Meixner probability distribution.
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Discussion Paper 1/2020: Szabolcs Blazsek and Michel Ferreira Cardia Haddad (2020)
Estimation and statistical performance of Markov-switching score-driven volatility models: the case of G20 stock markets.
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Discussion Paper 2/2019: Szabolcs Blazsek and Adrian Licht (2019)
Dynamic conditional score models: a review.
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Discussion Paper 1/20192: Szabolcs Blazsek and Adrian Licht (2019)
Robustness of score-driven location and scale models to extreme observations: an application to the Chinese stock market.
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Discussion Paper 1/2018: Astrid Ayala and Szabolcs Blazsek (2018)
Score-driven models of local level, seasonality and volatility: an application to the currency exchange rate of Indian rupee to USD.
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Discussion Paper 2/2017: Astrid Ayala and Szabolcs Blazsek (2017)
New score-driven models for trimming and Winsorizing: An application for Guatemalan Quetzal to US Dollar.
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Discussion Paper 1/2017: Daniela Carrizo, Ricardo Eskildsen y Humberto González (2017)
Forecasting following appearance of extreme values when using AR-GARCH and QAR-Beta-t-EGARCH.
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Discussion Paper 1/2016:Luis Monteros (2016)
Predicting the volatility of information technology stocks: Does Beta-t-EGARCH(1,1) beat a GARCH(1,1)?.
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Discussion Paper 2/2015: Marco Villatoro (2015)
Volatility of global equity indices: comparison of GARCH and Beta-t-EGARCH models.
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Discussion Paper 1/2015: Heier, Andreas (2015)
Analysis of systematic risk factors for cost of equity estimation on German enterprises
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