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Adrián Licht

Observed names: Adrian Licht, Adrian Licht 1, Licht, Adrian
Observed institution: Universidad Francisco Marroquín
OpenAlex ID: A5019312347
Dynamic conditional score models: a review of their applications
2019 · Szabolcs Blazsek, Adrian Licht · Applied Economics · 20
Co-integration with score-driven models: an application to US real GDP growth, US inflation rate, and effective federal funds rate
2021 · Szabolcs Blazsek, Alvaro Escribano, et al. · Macroeconomic Dynamics · 19
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Score-driven location plus scale models: asymptotic theory and an application to forecasting Dow Jones volatility
2022 · Szabolcs Blazsek, Alvaro Escribano, et al. · Studies in Nonlinear Dynamics and Econometrics · 16
Multivariate Markov-switching score-driven models: an application to the global crude oil market
2021 · Szabolcs Blazsek, Alvaro Escribano, et al. · Studies in Nonlinear Dynamics and Econometrics · 16
Identification of Seasonal Effects in Impulse Responses Using Score-Driven Multivariate Location Models
2020 · Szabolcs Blazsek, Alvaro Escribano, et al. · Journal of Econometric Methods · 13
Score function scaling for QAR plus Beta-t-EGARCH: an empirical application to the S&P 500
2023 · Astrid Loretta Ayala, Szabolcs Blazsek, et al. · Applied Economics · 8
Non-Gaussian score-driven conditionally heteroskedastic models with a macroeconomic application
2023 · Szabolcs Blazsek, Álvaro Escribano, et al. · Macroeconomic Dynamics · 6
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Score-driven non-linear multivariate dynamic location models
2017 · Szabolcs Blazsek, Adrián Licht, et al. · RePEc: Research Papers in Economics · 6
Prediction accuracy of volatility using the score-driven Meixner distribution: an application to the Dow Jones
2021 · Szabolcs Blazsek, Adrian Licht · Applied Economics Letters · 5
Score-driven stochastic seasonality of the Russian rouble: an application case study for the period of 1999 to 2020
2021 · Astrid Ayala, Szabolcs Blazsek, et al. · Empirical Economics · 4
Signal smoothing for score-driven models: a linear approach
2022 · Szabolcs Blazsek, Astrid Ayala, et al. · Communications in Statistics - Simulation and Computation · 3
Comparison of Score-Driven Equity-Gold Portfolios During the COVID-19 Pandemic Using Model Confidence Sets
2023 · Astrid Ayala, Szabolcs Blazsek, et al. · Studies in Nonlinear Dynamics and Econometrics · 2
Nonlinear common trends for the global crude oil market: Markov-switching score-driven models of the multivariate t-distribution
2020 · Álvaro Escribano, Szabolcs Blazsek, et al. · RePEc: Research Papers in Economics · 2
Co-integration and common trends analysis with score-driven models: an application to the federal funds effective rate and US inflation rate
2019 · Szabolcs Blazsek, Adrián Licht, et al. · e-Archivo (Carlos III University of Madrid) · 2
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Seasonal quasi-vector autoregressive models for macroeconomic data
2018 · Szabolcs Blazsek, Adrián Licht, et al. · e-Archivo (Carlos III University of Madrid) · 2
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Score-Driven Location Plus Scale Models: Asymptotic Theory and An Application to Forecasting Dow Jones Volatility
2024 · Szabolcs Blazsek, Alvaro Escribano, et al. · Studies in Nonlinear Dynamics and Econometrics · 1
Volatility Forecasting Using Quasi-Score-Driven Models with an Application to the Coronavirus Pandemic Period
2023 · Astrid Ayala, Szabolcs Blazsek, et al. · Studies in Nonlinear Dynamics and Econometrics · 1
Markov-switching score-driven multivariate models: outlier-robust measurement of the relationships between world crude oil production and US industrial production
2019 · Szabolcs Blazsek, Adrián Licht, et al. · e-Archivo (Carlos III University of Madrid) · 1
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Robustness of score-driven location and scale models to extreme observations: An application to the Chinese stock market
2018 · Szabolcs Blazsek 1, Adrian Licht 1 · Financial Statistical Journal · 1
Fractionally Integrated Multivariate Score-Driven Location Models with an Application to Climate Data
2025 · Szabolcs Blazsek, Alvaro Escribano, et al. · Studies in Nonlinear Dynamics and Econometrics
Anthropogenic effects of climate change: Evidence from a fractionally integrated ice-age model
2025 · Szabolcs Blazsek, Alvaro Escribano, et al.
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Core Inflation Rate for China and the ASEAN-10 Countries: Smoothed Signal for Score-Driven Local Level Plus Scale Models
2024 · Szabolcs Blazsek, Adrian Licht, et al. · Studies in Nonlinear Dynamics and Econometrics
Review of: "Using the Altman Z-Score Model to Forecast the Financial Distress of a Subset of NIFTY 50 Companies in the Indian Stock Market"
2023 · Adrian Licht · Qeios
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Robustness of Score-driven Location and Scale Models to Extreme Observations: An Application to the Chinese Stock Market
2021 · Szabolcs Blazsek, Adrian Licht · Financial Statistical Journal
Robustness of score-driven location and scale models to extreme observations: An application to the Chinese stock market
2020 · Szabolcs Blazsek, Adrian Licht · Financial Statistical Journal
Works count: 33
Citation count: 130
H-index: 6
I10-index: 5
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