Astrid Ayala

Associate Professor of Economics and Finance

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 Economics and Finance at Stetson-Hatcher School of Business at Mercer University. Astrid earned a Ph.D. in Economics degree at University of Navarra (Spain) in 2010 and Master of Economics and Finance at 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. Astrid published 25 journal articles, 1 book chapter, and 1 book.  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.

As faculty advisor to Mercer’s Student Managed Investment Fund, Dr. Ayala guides students through real portfolio management, developing the analytical and professional skills needed for careers in the investment industry.

Courses Taught

  • Strategic Corporate Finance
  • Equity Research
  • Investments Seminar
  • Financial Analytics
  • Global Managerial Economics
  • Visual Reporting and Communication

Specializations

  • Finance
  • Financial Econometrics
  • Microeconomics
  • Macroeconomics
  • Art Markets

Professional Interests

  • Corporate Finance
  • Financial Econometrics
  • Macroeconometrics
  • Dynamic Conditional Score Models
  • Art Markets

Recent Publications

  • (P25) Ayala, A, Blazsek, S., and Subrahmanyam, V. (2026) Score-driven Markov-switching models of scale and shape parameters: an application to the Indian stock market. Applied Economics, https://doi.org/10.1080/00036846.2026.2632711.
  • (P24) Ayala, A, and Blazsek, S., Ruiz-Sanchez, M. (2025) Sample selection bias for Jackson Pollock auctions: A case study. Applied Finance Letters, accepted for publication.
  • (P23) Ayala, A, and Blazsek, S., Subrahmanyam, V. (2025) Score-driven expected return and volatility spillovers between the Indian and United States stock markets. Applied Economics, https://doi.org/10.1080/00036846.2025.2476775.
  • (P22) Ayala, A, and Blazsek, S. (2025) Exogenous, endogenous, and observable switching models of industrial production in the United Kingdom. Applied Economics, https://doi.org/10.1080/00036846.2025.2464823.
  • (P21) Blazsek, S., and Licht, A., Ayala, A., Su-Ping Liu (2024). 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, https://doi.org/10.1515/snde-2023-0042.
  • (P20) Ayala, A., Blazsek, S., and Licht, A. (2024) 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.
  • (P19) Ayala, A., Blazsek, S., and Licht, A. (2024) Signal Smoothing for Score-Driven Models: A Linear Approach, Communications in Statistics – Simulation and Computation, https://doi.org/10.1080/03610918.2022.2032165.
  • (P18) 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.
  • (P17) 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.
  • (P16) Ayala, A., Blazsek, S., and Escribano, A. (2023) Anticipating extreme losses using score-driven shape filters. Studies in Nonlinear Dynamics & Econometrics, https://doi.org/10.1515/snde-2021-0102.
  • (P15) Ayala, A., Blazsek, S., and Licht, A. (2022) 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.
  • (P14) Ayala, A., and Blazsek, S. (2021) 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.
  • (P13) 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.
  • (P12) 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.
  • (P11) 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. https://doi.org/10.1080/1351847X.2018.1464488.
  • (P10) Ayala, A. and Blazsek, S. (2018) Equity market neutral hedge funds and the stock market: an application of score-driven copula models. Applied Economics. https://doi.org/10.1080/00036846.2018.1440062.
  • (P9) Ayala, A., Blazsek, S., Cuñado, J., Gil-Alana, L. (2016). Regime-switching purchasing power parity in Latin America: Monte Carlo unit root tests with dynamic conditional score, Applied Economics, 48 (29): 2675–2696. http://dx.doi.org/10.1080/00036846.2015.1128076.

Contact Dr. Ayala

478.301.2719
ayala_a@mercer.edu
Curriculum Vitae