Astrid Ayala

Associate Professor of Management Science and Analytics

EducationDr. Ayala Astrid

  • Ph.D. in Economics, University of Navarra (Spain)
  • Master of Economics and Finance, University of Navarra (Spain)

Astrid Ayala is an Associate Professor of Management Science and Analytics at Stetson-Hatcher School of Business at Mercer University. Astrid earned a Ph.D. in Economics degree at the University of Navarra (Spain) in 2010 and a Master of Economics and Finance at the University of Navarra (Spain) in 2008. Astrid was a Professor of Economics and Finance, and Director of the Legal Master (LL.M.) in Finance program at Francisco Marroquin University, Guatemala (2006-2023).

Her research interests are econometrics, finance, and the art market. Her journal articles appear in Empirical Economics, European Journal of Finance, Studies in Nonlinear Dynamics & Econometrics, Communications in Statistics – Simulation and Computation, Journal of the Spanish Economic Association, Economic Systems, Journal of Applied Economics, Applied Economics, Applied Economics Letters, Applied Financial Economics, among others.

Courses Taught

  • Global Managerial Economics
  • Visual Reporting and Communication
  • Financial Analytics

Specializations

  • Microeconomics
  • Macroeconomics
  • Art Markets

Professional Interests

  • Art Markets
  • Financial Econometrics
  • Macroeconometrics

Recent Publications

  • Ayala, A., Blazsek, S., and Licht, A., Su-Ping Liu (2023). 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,
  • Ayala, A., Blazsek, S., and Licht, A. (2023) Volatility forecasting using quasi-score-driven models with an application to the coronavirus pandemic. Studies in Nonlinear Dynamics & Econometrics, https://doi.org/10.1515/snde-2022-0085.
  • Ayala, A., Blazsek, S., and Licht, A. (2023) Comparison of Score-Driven Equity-Gold Portfolios During the COVID-19 Pandemic Using Model Confidence Sets. Studies in Nonlinear Dynamics & Econometrics, https://doi.org/10.1515/snde-2022-0107
  • Ayala, A., Blazsek, S., and Licht, A. (2023) Score function scaling for QAR plus Beta-t-EGARCH: An empirical application to the S&P 500. Applied Economics, https://doi.org/10.1080/00036846.2023.2208335
  • Ayala, A., Blazsek, S., and Escribano, A. (2022) Anticipating extreme losses using score-driven shape filters. Studies in Nonlinear Dynamics & Econometrics, https://doi.org/10.1515/snde-2021-0102
  • Ayala, A., Blazsek, S., and Licht, A. (2022) Signal Smoothing for Score-Driven Models: A Linear Approach, Communications in Statistics – Simulation and Computation, https://doi.org/10.1080/03610918.2022.2032165
  • Ayala, A., Blazsek, S., and Licht, A. (2021) Score-driven stochastic seasonality of the Russian rouble: An application case study for the period of 1999 to 2020, Empirical Economics 62: 2179–2203. http://link.springer.com/article/10.1007/s00181-021-02103-6
  • Ayala, A., and Blazsek, S. (2020) Score-driven panel data models of the capital structure of US firms. Applied Economics Letters, 28 (19): 1666–1670. https://doi.org/10.1080/13504851.2020.1845293
  • Ayala, A., and Blazsek, S. (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, 51 (37): 4083–4103. https://doi.org/10.1080/00036846.2019.1588952
  • Ayala, A., and Blazsek, S. (2019) Score-driven currency exchange rate seasonality as applied to the Guatemalan Quetzal/US Dollar. Journal of the Spanish Economic Association (SERIEs). 10 (1): 65–92. https://doi.org/10.1007/s13209-018-0186-0
  • Ayala, A., and Blazsek, S. (2018) Score-driven copula models for portfolios of two risky assets, The European Journal of Finance 24 (18): 1861–1884. Paper: https://doi.org/10.1080/1351847X.2018.1464488
  • Ayala, A. and Blazsek, S. (2018) Equity market neutral hedge funds and the stock market: an application of score-driven copula models. Applied Economics 50 (37): 4005–4023. https://doi.org/10.1080/00036846.2018.1440062

Contact Dr. Ayala

678.547.6321
ayala_a@mercer.edu