E-LIB Suche - Ergebnisse für: Blasques, Francisco

1

Common and idiosyncratic conditional volatility: Theory and..:

Blasques, Francisco ; D'Innocenzo, Enzo ; Koopman, Siem Jan
Econometric Reviews. , 2024

Link: https://doi.org/10.1080/..

2

Maximum Likelihood Estimation for Non-Stationary Location M..:

Blasques, Francisco ; van Brummelen, Janneke ; Gorgi, Paolo.
Journal of Econometrics. 238 (2024) 1 - p. 105575 , 2024

Link: https://doi.org/10.1016/..

3

Zero-Inflated Autoregressive Conditional Duration Model for..:

Blasques, Francisco ; Holý, Vladimír ; Tomanová, Petra
Studies in Nonlinear Dynamics & Econometrics. 0 (2023) 0 - p. , 2023

Link: https://doi.org/10.1515/..

4

Stochastic properties of nonlinear locally-nonstationary fi..:

Blasques, Francisco ; Nientker, Marc
Journal of Econometrics. 235 (2023) 2 - p. 2082-2095 , 2023

Link: https://doi.org/10.1016/..

5

A Multilevel Factor Model for Economic Activity with Observ..:

Artemova, Mariia ; Blasques, Francisco ; Koopman, Siem Jan
Series: Tinbergen Institute Discussion Paper. , 2023

Link: http://hdl.handle.net/10..

6

Extremum Monte Carlo Filters: Real-Time Signal Extraction v..:

Blasques, Francisco ; Koopman, Siem Jan ; Moussa, Karim
Series: Tinbergen Institute Discussion Paper. , 2023

Link: http://hdl.handle.net/10..

7

A time-varying parameter model for local explosions:

Blasques, Francisco ; Koopman, Siem Jan ; Nientker, Marc
Journal of Econometrics. 227 (2022) 1 - p. 65-84 , 2022

Link: https://doi.org/10.1016/..

8

Maximum likelihood estimation for score-driven models:

Blasques, Francisco ; van Brummelen, Janneke ; Koopman, Siem Jan.
Journal of Econometrics. 227 (2022) 2 - p. 325-346 , 2022

Link: https://doi.org/10.1016/..

9

Maximum likelihood estimation for non-stationary location m..:

Blasques, Francisco ; van Brummelen, Janneke ; Gorgi, Paolo.
Series: Tinbergen Institute Discussion Paper. , 2022

Link: http://hdl.handle.net/10..

10

Maximum likelihood estimation for score-driven models:

Blasques, Francisco ; van Brummelen, Janneke ; Koopman, Siem Jan.
https://pure.au.dk/portal/en/publications/a61c0285-669f-48f7-8036-4911cdcecfa9. , 2022

Link: https://pure.au.dk/porta..

11

Dynamic factor models with clustered loadings: Forecasting ..:

Blasques, Francisco ; Hoogerkamp, Meindert Heres ; Koopman, Siem Jan.
International Journal of Forecasting. 37 (2021) 4 - p. 1426-1441 , 2021

Link: https://doi.org/10.1016/..

12

Forecasting in a changing world:from the great recession to..:

Artemova, Mariia ; Blasques, Francisco ; Koopman, Siem Jan.
Artemova , M , Blasques , F , Koopman , S J & Zhang , Z 2021 ' Forecasting in a changing world : from the great recession to the COVID-19 pandemic ' TI discussion paper series , no. 21-006/III , 006/III edn , Tinbergen Instituut .. , 2021

Link: https://research.vu.nl/e..

13

Tail Heterogeneity for Dynamic Covariance-Matrix-Valued Ran..:

Blasques, Francisco ; Lucas, Andre ; Opschoor, Anne.
Blasques , F , Lucas , A , Opschoor , A & Rossini , L 2021 ' Tail Heterogeneity for Dynamic Covariance-Matrix-Valued Random Variables : the F-Riesz Distribution ' TI discussion paper series , no. 21-010/III , 010/III edn , Tinbergen Instituut .. , 2021

Link: https://research.vu.nl/e..

14

Common and Idiosyncratic Conditional Volatility Factors: Th..:

Blasques, Francisco ; D'Innocenzo, Enzo ; Koopman, Siem Jan
Series: Tinbergen Institute Discussion Paper. , 2021

Link: http://hdl.handle.net/10..

15

Dynamic factor models with clustered loadings:Forecasting e..:

Blasques, Francisco ; Hoogerkamp, Meindert Heres ; Koopman, Siem Jan.
Blasques , F , Hoogerkamp , M H , Koopman , S J & van de Werve , I 2021 , ' Dynamic factor models with clustered loadings : Forecasting education flows using unemployment data ' , International Journal of Forecasting , vol. 37 , no. 4 , pp. 1426-1441 . https://doi.org/10.1016/j.ijforecast.2021.01.026. , 2021

Link: https://research.vu.nl/e..