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  3. Ayala, Astrid [Author]; Blazsek, Szabolcs [Author]; Escribano, Álvaro [Author]

    Maximum likelihood estimation of score-driven models with dynamic shape parameters : an application to Monte Carlo value-at-risk

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    [Getafe (Spain)]: UC3M, Universidad Carlos III de Madrid, [2019]

    Published in: Working paper ; 2019,12

  4. Blazsek, Szabolcs [Author]; Escribano, Álvaro [Author]; Licht, Adrian [Author]

    Co-integration and common trends analysis with score-driven models : an application to the federal funds effective rate and US inflation rate

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    [Getafe (Spain)]: UC3M, Universidad Carlos III de Madrid, [2019]

    Published in: Working paper ; 2019,8

  6. Blazsek, Szabolcs [Author]; Escribano, Álvaro [Author]; Licht, Adrian [Author]

    Seasonality detection in small samples using score-driven nonlinear multivariate dynamic location models

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    Getafe (Spain): Universidad Carlos III de Madrid, Departamento de Economía, [2018]

    Published in: UC3M working papers ; 20180900