Dr. Szabolcs Blazsek

Visiting Associate Professor

EducationSzabolcs Blazsek

  • PhD, Economics, University Carlos III de Madrid
  • MSc in Business Administration at Corvinus University of Budapest

Szabolcs Blazsek has a Ph.D. in Economics degree from the University Carlos III of Madrid. He lectures courses of finance and econometrics both at undergraduate and graduate levels. His research interests are score-driven time series models, financial econometrics, and macroeconometrics. His articles have been published in the Journal of Econometrics, Economics Letters, Empirical Economics, The European Journal of Finance, Macroeconomic Dynamics and Studies in Nonlinear Dynamics & Econometrics, Computational Statistics – Simulation and Computation, Applied Economics, among others.

Courses Taught

  • Business Quantitative Analysis

Specializations

Econometrics

Memberships

  • American Economic Association
  • Society of Financial Econometrics
  • Hungarian Economic Association

Professional Interests

Score-driven time series models, financial econometrics, and macroeconometrics.

Recent Publications

  • 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.
  • Blazsek, S., and Haddad, M. (2022) Non-path-dependent score-driven multi-regime Markov-switching EGARCH: empirical evidence. Studies in Nonlinear Dynamics & Econometrics. https://doi.org/10.1515/snde-2021-0101.
  • Blazsek, S., and Escribano, A. (2022) Robust estimation and forecasting of climate change using score-driven ice-age models. Econometrics (Special Issue: Econometric Analysis of Climate Change) 10(1). https://doi.org/10.3390/econometrics10010009.
  • Blazsek, S., Escribano, A., and Licht, A. (2022) Score-driven location plus scale models: asymptotic theory and an application to forecasting Dow Jones volatility. Studies in Nonlinear Dynamics & Econometrics. https://doi.org/10.1515/snde-2021-0083. Supplementary Material is available at the same website.
  • Aycinena, D., Blazsek, S., Rentschler, L., and Sprenger, C. (2022) Intertemporal choice experiments and large-stakes behavior. Journal of Economic Behavior and Organization 196: 484–500. https://doi.org/10.1016/j.jebo.2022.02.011. Supplementary Material is available at the same website.
  • Blazsek, S., Blazsek, V., and Kobor, A. (2022) Conservatorship, quantitative easing, and mortgage spreads: a new multi-equation score-driven model of policy actions. Studies in Nonlinear Dynamics & Econometrics. http://doi.org/10.1515/snde-2021-0066.
  • Blazsek, S., Ayala, A., 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. (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. https://doi.org/10.1007/s00181-021-02103-6.
  • Blazsek, S., Escribano, A., and Licht, A. (2022) Co-integration with score-driven models: an application to US real GDP growth, US inflation rate, and effective federal funds rate. Macroeconomic Dynamics.  https://doi.org/10.1017/S1365100521000365.
  • Blazsek, S., Escribano, A., and Licht, A. (2022) Multivariate Markov-switching score-driven models: an application to the global crude oil market. Studies in Nonlinear Dynamics & Econometrics. 26 (3): 313–335. https://doi.org/10.1515/snde-2020-0099.
  • Blazsek, S., and Licht, A. (2022) Prediction accuracy of volatility using the score-driven Meixner distribution: an application to the Dow Jones. Applied Economics Letters 29(2): 111–117. https://doi.org/10.1080/13504851.2020.1859445.
  • 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.
  • Blazsek, S., Escribano, A, and Licht, A. (2020) Identification of seasonal effects in impulse responses using score-driven multivariate location models. Journal of Econometric Methods 10(1): 53-66. https://doi.org/10.1515/jem-2020-0003.
  • Blazsek, S., and Licht, A. (2020) Dynamic conditional score models: a review of their applications. Applied Economics 52(11): 1181–1199. https://doi.org/10.1080/00036846.2019.1659498.
  • Aycinena, D., Blazsek, S., Rentschler, L., and Sandoval, B. (2019) Smoothing, discounting and demand for intra-household control for recipients of conditional cash transfers. Journal of Applied Economics 22(1): 218–241. https://doi.org/10.1080/15140326.2019.1596641.
  • 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. SERIEs 10 (1): 65–92. https://doi.org/10.1007/s13209-018-0186-0.

Contact Dr. Blazsek


478.301.2881
blazsek_s@mercer.edu

1501 Mercer University Drive, Macon, Georgia 31207