Dr. Szabolcs Blazsek

Professor of Economics

EducationSzabolcs Blazsek

  • Ph.D. in Economics, University Carlos III de Madrid
  • M.S. in Business Administration at Corvinus University of Budapest

Szabolcs Blazsek is a Professor of Economics at the Stetson-Hatcher School of Business at Mercer University. Szabolcs earned a Ph.D. in Economics degree at the University Carlos III of Madrid in 2007, and an M.S. in Business Administration degree at Corvinus University of Budapest in 2001. He lectures econometrics courses at undergraduate and graduate levels. His research interests are score-driven time series models, financial econometrics, and macroeconometrics. His articles are published in the Journal of Econometrics, Economics Letters, Energy Economics, Journal of Economic Behavior & Organization, Empirical Economics, European Journal of Finance, Finance Research Letters, Macroeconomic Dynamics, Studies in Nonlinear Dynamics & Econometrics, Communications in Statistics – Simulation and Computation, Applied Economics, Applied Economics Letters, Journal of Econometric Methods, Econometrics, Financial Markets and Portfolio Management, among others.

Courses Taught

  • Business Quantitative Analysis (BUS 350)
  • Introduction to Econometrics (ECN 353)
  • Research in Economics (ECN 478)
  • Statistics for Business Analysis (BDA 602)
  • Advanced Business Statistics (BDA 610)

Specializations

Econometrics

Professional Interests

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

Recent Publications

  • (P51) Blazsek, S., Jording, A., and Rai, S. (2024) Generalized autoregressive conditional betas: a new multivariate score-driven filter. Studies in Nonlinear Dynamics & Econometrics. https://doi.org/10.1515/snde-2023-0019
  • (P50) Blazsek, S., Licht, A., Liu, S.-P., and Ayala, A. (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 
  • (P49) 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 
  • (P48) 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
  • (P47) Ferreira C. H. M., Blazsek, S., Arestis, P., Fuerst, F., and Sheng, H. H. (2023) Two-component Beta-t-QVAR model: Volatility forecasting for the G20 stock markets. Financial Markets and Portfolio Management. https://doi.org/10.1007/s11408-023-00431-4
  • (P46) 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
  • (P45) Blazsek, S., and Bowen, R. (2023) Score-driven cryptocurrency and equity portfolios. Applied Economics. https://doi.org/10.1080/00036846.2023.2182406
  • (P44) Blazsek, S., and Escribano, A. (2023) Score-driven threshold ice-age models: Benchmark models for long-run climate forecasts. Energy Economics. https://doi.org/10.1016/j.eneco.2023.106522
  • (P43) Contreras Espinoza, S., Novoa-Muñoz, F., Blazsek, S., Vidal, P., and Caamaño-Carrillo, C. (2022) COVID-19 active case forecasts in Latin American countries using score-driven models. Mathematics 11 (1): 136. https://doi.org/10.3390/math11010136
  • (P42) Blazsek, S., Escribano, A., and Licht, A. (2023) Non-Gaussian score-driven conditionally heteroskedastic models with a macroeconomic application. Macroeconomic Dynamics. https://doi.org/10.1017/S1365100522000712
  • (P41) 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
  • (P40) 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
  • (P39) 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): 9. https://doi.org/10.3390/econometrics10010009
  • (P38) 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
  • (P37) 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
  • (P36) 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
  • (P35) 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
  • (P34) 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. https://doi.org/10.1007/s00181-021-02103-6
  • (P33) Blazsek, S., Escribano, A., and Licht, A. (2023) Co-integration with score-driven models: an application to US real GDP growth, US inflation rate, and effective federal funds rate. Macroeconomic Dynamics 27 (1): 203–223. https://doi.org/10.1017/S1365100521000365
  • (P32) 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. Best Paper in 2022 for Studies in Nonlinear Dynamics, and Econometrics.

Contact Dr. Blazsek

478.301.2881
blazsek_s@mercer.edu

Curriculum Vitae

1501 Mercer University Drive, Macon, Georgia 31207