Browsen in EconStor gesamt nach Autor:innen Blasques, Francisco


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