E-LIB Suche - Ergebnisse für: Blasques, Francisco

1

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..

2

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..

3

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..

4

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..

5

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..

6

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..

7

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..

8

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..

9

Finite Sample Optimality of Score-Driven Volatility Models:..:

Blasques, Francisco ; Lucas, André ; van Vlodrop, Andries C
Blasques , F , Lucas , A & van Vlodrop , A C 2021 , ' Finite Sample Optimality of Score-Driven Volatility Models : Some Monte Carlo Evidence ' , Econometrics and Statistics , vol. 19 , pp. 47-57 . https://doi.org/10.1016/j.ecosta.2020.03.010. , 2021

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

10

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

Blasques, Francisco ; Lucas, Andre ; Opschoor, Anne.
Series: Tinbergen Institute Discussion Paper. , 2021

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

11

Dynamic Factor Models with Clustered Loadings: Forecasting ..:

Blasques, Francisco ; Hoogerkamp, Meindert Heres ; Koopman, Siem Jan.
Series: Tinbergen Institute Discussion Paper. , 2021

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

12

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

Artemova, Mariia ; Blasques, Francisco ; Koopman, Siem Jan.
Series: Tinbergen Institute Discussion Paper. , 2021

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

13

A New Class of Robust Observation-Driven Models:

Blasques, Francisco ; Francq, Christian ; Laurent, Sébastien
Series: Tinbergen Institute Discussion Paper. , 2020

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

14

Nonlinear autoregressive models with optimality properties:

Blasques, Francisco ; Koopman, Siem Jan ; Lucas, André
Blasques , F , Koopman , S J & Lucas , A 2020 , ' Nonlinear autoregressive models with optimality properties ' , Econometric Reviews , vol. 39 , no. 6 , pp. 559-578 . https://doi.org/10.1080/07474938.2019.1701807. , 2020

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

15

Dynamic Factor Models with Clustered Loadings:Forecasting E..:

Blasques, Francisco ; Heres Hoogerkamp, Meindert ; Koopman, Siem Jan.
Blasques , F , Heres Hoogerkamp , M , Koopman , S J & van de Werve , I 2020 ' Dynamic Factor Models with Clustered Loadings : Forecasting Education Flows using Unemployment Data ' TI discussion paper series , no. 20-078/III , 078/III edn , Tinbergen Instituut .. , 2020

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