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ErscheinungsjahrTitelAutor:innen
2013Stationarity and Ergodicity Regions for Score Driven Dynamic Correlation ModelsBlasques, Francisco; Lucas, Andre; Silde, Erkki
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
2012Transformed Polynomials for Nonlinear Autoregressive Models of the Conditional MeanBlasques, Francisco
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
2019Transformed Perturbation Solutions for Dynamic Stochastic General Equilibrium ModelsBlasques, Francisco; Nientker, Marc
2018A Time-Varying Parameter Model for Local ExplosionsBlasques, Francisco; Koopman, Siem Jan; Nientker, Marc
2017Finite Sample Optimality of Score-Driven Volatility ModelsBlasques, Francisco; Lucas, André; van Vlodrop, Andries