Research Seminars
The GESG organizes Research Seminars to which researchers are invited to submit full papers written in English. These seminars are organized by the Secretary. Papers are to be submitted by e-mail to the Secretary. The language of Research Seminars is English. The duration of each seminar is of 45 minutes followed by questions of 15 minutes. The papers to be presented are sent to GESG members about one week before the seminar date. Papers presented in Research Seminars may be submitted for the Discussion Paper Series.
Seminars
Seminar 46: Szabolcs Blazsek y Adrian Licht
"Markov-switching score-driven multivariate models: outlier-robust measurement of the relationships between world crude oil production and US industrial production", October 31, 2019.
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Seminar 45: Szabolcs Blazsek y Adrian Licht
"Co-integration and common trends analysis with score-driven models: an application to U.S. macroeconomic data", June 20, 2019.
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Seminar 44: Helmuth Chávez
"Illiquidity Premium? Don't ask the Factor Models", May 9, 2019.
Seminar 43: Olav A. Dirkmaat
"Capital Theory, Capital Markets and Q", May 2, 2019.
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Seminar 42: Karina Ramírez
"Relación entre Productividad y Tipo de Cambio Real: Efecto Balassa-Samuelson para 17 Países de América Latina", April 4, 2019.
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Seminar 41: Guillermo Díaz
"Retornos de la educación en Guatemala: Rentabilidad disminuye", March 21, 2019.
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Seminar 40: Szabolcs Blazsek y Astrid Ayala
"Score-driven time series models with dynamic shape: An application to the Standard & Poor's 500 index", March 7, 2019.
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Seminar 39: Juan Carlos Castañeda, Carlos Castillo, Douglas, Galindo, Mariano Gutiérrez y Edson Ortiz
" Evaluación del Esquema de Metas Explícitas de Inflación (EMEI) en Guatemala", November 29, 2018.
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Seminar 38: Walter Figueroa
"Impacto de un aumento en la tasa de Impuesto al Valor Agregado sobre el bienestar de los hogares y sobre el cumplimiento de los Objetivos de Desarrollo Sostenible (ODS): el caso guatemalteco", November 22, 2018.
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Seminar 37: Mauricio Vargas
"Impacto de la variabilidad de los precios del petróleo en el crecimiento económico de Centroamerica: Un enfoque de modelos vectoriales de corrección de error ", November 15, 2018.
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Seminar 36: Olav Dirkmaat
"Hayek versus Harvard: The Case Against ‘Industrial Policy ", September 13, 2018.
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Seminar 35: Astrid Ayala y Szabolcs Blazsek
"Score-driven models of local level, seasonality and volatility: an application to the currency exchange rate of Indian rupee to USD ", June 14, 2018.
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Seminar 34: Szabolcs Blazsek and Adrian Licht
"Robustness of score-driven location and scale models to extreme observations: an application to the Chinese stock market", June 7, 2018.
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Seminar 33: Szabolcs Blazsek and Adrian Licht
"Dynamic conditional score models: a review ", May 17, 2018.
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Seminar 32: Olav A. Dirkmaat
"Fat-tails and Anti-fragility", March 22, 2018.
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Seminar 31: Szabolcs Blazsek and Adrian Licht
"Seasonal quasi-vector autoregressive models for macroeconomic data"", December 7, 2017.
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Seminar 30: Szabolcs Blazsek and Adrian Licht
"Score-driven non-linear multivariate dynamic location models", November 9, 2017
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Seminar 29: Szabolcs Blazsek
"Score-driven Markov-switching EGARCH models", Septiembre 28, 2017.
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Seminar 28: Astrid Ayala y Szabolcs Blazsek
"New score-driven models for trimming and Winsorizing: An application for Guatemalan Quetzal to US Dollar", Septiembre 21, 2017.
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Seminar 27: Szabolcs Blazsek y Astrid Ayala
"Equity market neutral hedge funds and the stock market: an application of score-driven copula models", Agosto 24, 2017.
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Seminar 26: Daniela Carrizo, Ricardo Eskildsen y Humberto González
“Forecasting following appearance of extreme values when using AR-GARCH and QAR-Beta-t-EGARCH”, Abril 21, 2017.
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Seminar 25: Michelle Steiger
“The Influence of Country Risk Premiums on Stock Market Returns: A global analysis on the relationship between country risk and stock market indexes”, November 25, 2016.
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Seminar 24: Diego Aycinena
“Informed entry in auctions”, September 2, 2016.
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Seminar 23: Szabolcs Blazsek and Luis Antonio Monteros
“Dynamic conditional score models of degrees of freedom: filtering with score-driven heavy tails”
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Seminar 22: Zachary Grossman
“Evaluating the trade-off between efficiency and property rights in assembly mechanisms”, June 29, 2016.
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Seminar 21: Astrid Ayala and Szabolcs Blazsek
“Forecast performance of dynamic conditional score copula models”, June 17, 2016.
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Seminar 20: Szabolcs Blazsek
“Prediction of electricity prices for Central American countries using dynamic conditional score model”, May 20, 2016.
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Seminar 19: Szabolcs Blazsek and Carlos Méndez
“Model stability and forecast performance of Beta-t-EGARCH”, April 29, 2016.
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Seminar 18: Lucas Rentschler
“Two-bidder all-pay auctions with interdependent valuations, including the highly competitive case”, March 4, 2016.
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Seminar 17: Szabolcs Blazsek
“Dynamic conditional score patent count panel data models”, February 19, 2016.
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Seminar 16: Astrid Ayala and Szabolcs Blazsek
“Regime-switching purchasing power parity in Latin America: Monte Carlo unit root tests with dynamic conditional score”, January 29, 2016.
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Seminar 15: Szabolcs Blazsek
“Outlier-robust identification of switching regimes: an application to the S&P 500”, October 16, 2015.
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Seminar 14: Lucas Rentschler
“Two-bidder all-pay auctions with private signals: Experimental evidence”, August 28, 2015.
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Seminar 13: John Maluccio
“Migration, the financial crisis, and child growth in rural Guatemala”, July 15, 2015.
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Seminar 12: Betzy Sandoval
“Demand for intra-household control, risk and discounting for recipients of conditional cash transfers”, July 10, 2015.
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Seminar 11: Diego Aycinena
“Savings in Transnational Households: A Field Experiment among Migrants from El Salvador”, July 3, 2015.
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Seminar 10: Héctor Hernández
“Dynamic conditional score models for electricity prices in Central America”, June 5, 2015.
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Seminar 9: Luis Antonio Monteros
“Event-Study Analysis of Information Technology Stocks by Dynamic Conditional Score Models”, May 8, 2015.
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Seminar 8: Vicente Mendoza
“QARMA-Beta-t-EGARCH versus ARMA-GARCH”, April 17, 2015.
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Seminar 7: Szabolcs Blazsek
“Dynamic conditional score volatility models”, January 30, 2015.
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Seminar 6: Astrid Ayala
“Default risk of sovereign debt in Central America”, November 21, 2014.
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Seminar 5: Szabolcs Blazsek
“Propensity to patent, R&D and market competition: Dynamic spillovers of innovation leaders and followers”, October 24, 2014.
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Seminar 4: Luis Monteros
“Predicting the volatility of information technology stocks: Does Beta-t-EGARCH (1,1) beat a GARCH (1,1)?”, October 10, 2014.
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Seminar 3: Marco Villatoro
“Volatility of global equity indices: comparison of GARCH and Beta-t-EGARCH models”, August 22, 2014.
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Seminar 2: Andreas Heier
“Time Variance of Risk -Factors Effects”, July 25, 2014.
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Seminar 1: Szabolcs Blazsek and Astrid Ayala
“Structural breaks in public finances in Central and Eastern European countries”, June 11, 2014.
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