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Year of PublicationTitleAuthor(s)
2022Maximum likelihood estimation for non-stationary location models with mixture of normal distributionsBlasques, Francisco; van Brummelen, Janneke; Gorgi, Paolo; Koopman, Siem Jan
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
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
2021Tail Heterogeneity for Dynamic Covariance-Matrix-Valued Random Variables: the F-Riesz DistributionBlasques, Francisco; Lucas, Andre; Opschoor, Anne; Rossini, Luca
2023Extremum Monte Carlo Filters: Real-Time Signal Extraction via Simulation and RegressionBlasques, Francisco; Koopman, Siem Jan; Moussa, Karim
2020A New Class of Robust Observation-Driven ModelsBlasques, Francisco; Francq, Christian; Laurent, Sébastien
2023Asymmetric Stable Stochastic Volatility Models: Estimation, Filtering, and ForecastingBlasques, Francisco; Koopman, Siem Jan; Moussa, Karim
2023Observation-Driven filters for Time-Series with Stochastic Trends and Mixed Causal Non-Causal DynamicsBlasques, Francisco; Koopman, Siem Jan; Mingoli, Gabriele