Szabolcs Blazsek

Prediction accuracy of volatility using the score-driven Meixner distribution: an application to the Dow Jones

Szabolcs Blazsek, Adrian Licht, 2021, Applied Economics Letters.

Regime switching models of hedge fund returns.

Szabolcs Blazsek, Szabolcs Blazsek, Anna Downarowicz, 2008 .

Markov regime-switching Beta-t-EGARCH

Szabolcs Blazsek, H. Ho, Szabolcs Blazsek, 2017 .

Is Beta-t-EGARCH(1,1) superior to GARCH(1,1)?

Szabolcs Blazsek, Szabolcs Blazsek, Marco Villatoro, 2015 .