Browsing All of EconStor by Author Blasques, Francisco


Showing results 21 to 37 of 37
< previous 
Year of PublicationTitleAuthor(s)
2017A Stochastic Recurrence Equation Approach to Stationarity and phi-Mixing of a Class of Nonlinear ARCH ModelsBlasques, Francisco; Nientker, Marc
2017Smooth Transition Spatial Autoregressive ModelsAndree, Bo Pieter Johannes; Blasques, Francisco; Koomen, Eric
2018A Time-Varying Parameter Model for Local ExplosionsBlasques, Francisco; Koopman, Siem Jan; Nientker, Marc
2018Missing Observations in Observation-Driven Time Series ModelsBlasques, Francisco; Gorgi, Paolo; Koopman, Siem Jan
2019Transformed Perturbation Solutions for Dynamic Stochastic General Equilibrium ModelsBlasques, Francisco; Nientker, Marc
2019Zero-Inflated Autoregressive Conditional Duration Model for Discrete Trade Durations with Excessive ZerosBlasques, Francisco; Hol´y, Vladimír; Tomanová, Petra
2020A New Class of Robust Observation-Driven ModelsBlasques, Francisco; Francq, Christian; Laurent, Sébastien
2021Dynamic Factor Models with Clustered Loadings: Forecasting Education Flows using Unemployment DataBlasques, Francisco; Hoogerkamp, Meindert Heres; Koopman, Siem Jan; van de Werve, Ilka
2021Forecasting in a changing world: from the great recession to the COVID-19 pandemicArtemova, Mariia; Blasques, Francisco; Koopman, Siem Jan; Zhang, Zhaokun
2021Common and Idiosyncratic Conditional Volatility Factors: Theory and Empirical EvidenceBlasques, Francisco; D'Innocenzo, Enzo; Koopman, Siem Jan
2021Tail Heterogeneity for Dynamic Covariance-Matrix-Valued Random Variables: the F-Riesz DistributionBlasques, Francisco; Lucas, Andre; Opschoor, Anne; Rossini, Luca
2022Maximum likelihood estimation for non-stationary location models with mixture of normal distributionsBlasques, Francisco; van Brummelen, Janneke; Gorgi, Paolo; Koopman, Siem Jan
2023A Multilevel Factor Model for Economic Activity with Observation Driven Dynamic FactorsArtemova, Mariia; Blasques, Francisco; Koopman, Siem Jan
2023Extremum Monte Carlo Filters: Real-Time Signal Extraction via Simulation and RegressionBlasques, Francisco; Koopman, Siem Jan; Moussa, Karim
2023Asymmetric Stable Stochastic Volatility Models: Estimation, Filtering, and ForecastingBlasques, Francisco; Koopman, Siem Jan; Moussa, Karim
2023Observation-Driven filters for Time-Series with Stochastic Trends and Mixed Causal Non-Causal DynamicsBlasques, Francisco; Koopman, Siem Jan; Mingoli, Gabriele
2024A robust Beveridge-Nelson decomposition using a score-driven approach with an applicationBlasques, Francisco; van Brummelen, Janneke; Gorgi, Paolo; Koopman, Siem Jan