Browsing All of EconStor by Author Blasques, Francisco

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Year of PublicationTitleAuthor(s)
2012 Transformed Polynomials for Nonlinear Autoregressive Models of the Conditional MeanBlasques, Francisco
2012 Stationarity and Ergodicity of Univariate Generalized Autoregressive Score ProcessesBlasques, Francisco; Koopman, Siem Jan; Lucas, Andre
2013 On the Phase Dependence in Time-Varying Correlations Between Time-SeriesBlasques, Francisco
2013 Solution-Driven Specification of DSGE ModelsBlasques, Francisco
2013 Stationarity and Ergodicity Regions for Score Driven Dynamic Correlation ModelsBlasques, Francisco; Lucas, Andre; Silde, Erkki
2014 Maximum Likelihood Estimation for Correctly Specified Generalized Autoregressive Score Models: Feedback Effects, Contraction Conditions and Asymptotic PropertiesBlasques, Francisco; Koopman, Siem Jan; Lucas, and André
2014 Low Frequency and Weighted Likelihood Solutions for Mixed Frequency Dynamic Factor ModelsBlasques, Francisco; Koopman, Siem Jan; Mallee, Max
2014 Spillover Dynamics for Systemic Risk Measurement using Spatial Financial Time Series ModelsBlasques, Francisco; Koopman, Siem Jan; Lucas, Andre; Schaumburg, Julia
2014 Optimal Formulations for Nonlinear Autoregressive ProcessesBlasques, Francisco; Koopman, Siem Jan; Lucas, André
2014 Information Theoretic Optimality of Observation Driven Time Series ModelsBlasques, Francisco; Koopman, Siem Jan; Lucas, André
2014 Time Varying Transition Probabilities for Markov Regime Switching ModelsBazzi, Marco; Blasques, Francisco; Koopman, Siem Jan; Lucas, Andre
2014 Maximum Likelihood Estimation for Generalized Autoregressive Score ModelsBlasques, Francisco; Koopman, Siem Jan; Lucas, Andre
2014 Spillover dynamics for systemic risk measurement using spatial financial time series modelsBlasques, Francisco; Koopman, Siem Jan; Lucas, Andre; Schaumburg, Julia
2015 A Note on "Continuous Invertibility and Stable QML Estimation of the EGARCH(1,1) Model"Blasques, Francisco; Gorgi, Paolo; Koopman, Siem Jan; Wintenberger, Olivier
2015 In-Sample Confidence Bands and Out-of-Sample Forecast Bands for Time-Varying Parameters in Observation Driven ModelsBlasques, Francisco; Koopman, Siem Jan; Lasak, Katarzyna; Lucas, André
2015 Penalized Indirect InferenceBlasques, Francisco; Duplinskiy, Artem
2015 In-Sample Bounds for Time-Varying Parameters of Observation Driven ModelsBlasques, Francisco; Koopman, Siem Jan; Lasak, Katarzyna; Lucas, André
2016 Feasible Invertibility Conditions and Maximum Likelihood Estimation for Observation-Driven ModelsBlasques, Francisco; Gorgi, Paolo; Koopman, Siem Jan; Wintenberger, Olivier
2016 A dynamic network model of the unsecured interbank lending marketBlasques, Francisco; Bräuning, Falk; van Lelyveld, Iman
2017 A Stochastic Recurrence Equation Approach to Stationarity and phi-Mixing of a Class of Nonlinear ARCH ModelsBlasques, Francisco; Nientker, Marc