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Results 1-10 of 14.
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
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
2014Maximum Likelihood Estimation for Generalized Autoregressive Score ModelsBlasques, Francisco; Koopman, Siem Jan; Lucas, Andre
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
2015In-Sample Bounds for Time-Varying Parameters of Observation Driven ModelsBlasques, Francisco; Koopman, Siem Jan; Lasak, Katarzyna; Lucas, André
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