I'm not really sure but if I remember correctly I think one of the Hellboy's might have been shot in Prague.
As I said in one of my above posts The Raid 2 was made on a $4 million budget and looked really expensive, so I definitely think if he can get the film made he should make it in Asia.
I am not a professional writer so please excuse any writing mistakes

Spain is cheaper than hungary or the czech republic? Genuinely curious

If he takes it to a cheaper country he can get more for his money and it won't cost so much.

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Cheaper doesn't always mean a step down in scale, The Raid 2 cost 4 million to make in Indonesia and it looks more expensive than those crappy Steven Seagal actioners that are shot in Bulgaria for 10 million. The Expendables 3 cost 100 million and looked like an amateur made it.

I can not see how they can go cheap, as I suspect Del Toro would just view that as making the movie for the sake of it, plus for years he talked about the 3rd installment being much bigger and over the top than the 2nd one.
True Avengers cost more to make, but it had 4/5 pretty successful background movies to prop it up going in to it (Iron Man, Hulk, Thor, Captain America etc..) so money could be justified on that as returns had been made.. Hell Boy 2 just broke even (when you add in promotion and distribution costs on top of the movie budget) whereas Iron Man and Avengers made crazy money for the studios.
End of the day its all about money, and Hell Boy just does not bring in enough for the studio to keep them interested.

If he took production to his native Spain or even Indonesia he could make it for even cheaper. It's sad because Hellboy 1-2's budgets put together is half the price of what The Avengers cost to make and Hellboy is mostly practical effects.

Though the two movies have developed a cult following, they have not done as well as what was expected by the studio.
Del Toro has basically said the series is now dead (I also think if he had pulled out of the Hobbit earlier than he did, rather than waste 2/3 years, we might have got Hellboy 3) and just can not see a way forward for it now.