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Results 1-10 of 23.
Year of PublicationTitleAuthor(s)
2014Maximum Likelihood Estimation for Correctly Specified Generalized Autoregressive Score Models: Feedback Effects, Contraction Conditions and Asymptotic PropertiesBlasques, Francisco; Koopman, Siem Jan; Lucas, and André
2012Stationarity and Ergodicity of Univariate Generalized Autoregressive Score ProcessesBlasques, Francisco; Koopman, Siem Jan; Lucas, Andre
2015A Note on "Continuous Invertibility and Stable QML Estimation of the EGARCH(1,1) Model"Blasques, Francisco; Gorgi, Paolo; Koopman, Siem Jan; Wintenberger, Olivier
2022Maximum likelihood estimation for non-stationary location models with mixture of normal distributionsBlasques, Francisco; van Brummelen, Janneke; Gorgi, Paolo; Koopman, Siem Jan
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
2021Dynamic Factor Models with Clustered Loadings: Forecasting Education Flows using Unemployment DataBlasques, Francisco; Hoogerkamp, Meindert Heres; Koopman, Siem Jan; van de Werve, Ilka
2023A Multilevel Factor Model for Economic Activity with Observation Driven Dynamic FactorsArtemova, Mariia; Blasques, Francisco; Koopman, Siem Jan
2014Maximum Likelihood Estimation for Generalized Autoregressive Score ModelsBlasques, Francisco; Koopman, Siem Jan; Lucas, Andre
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