E-LIB Suche - Ergebnisse für: Blasques, Francisco

1

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/..

2

Common and idiosyncratic conditional volatility: Theory and..:

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

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

3

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/..

4

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/..

5

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/..

6

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/..

7

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/..

8

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

Blasques, Francisco ; Lucas, André ; van Vlodrop, Andries C.
Econometrics and Statistics. , 2020

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

9

Nonlinear autoregressive models with optimality properties:

Blasques, Francisco ; Koopman, Siem Jan ; Lucas, André
Econometric Reviews. 39 (2019) 6 - p. 559-578 , 2019

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

10

A dynamic network model of the unsecured interbank lending ..:

Blasques, Francisco ; Bräuning, Falk ; Lelyveld, Iman van
Journal of Economic Dynamics and Control. 90 (2018) - p. 310-342 , 2018

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

11

Penalized indirect inference:

Blasques, Francisco ; Duplinskiy, Artem
Journal of Econometrics. 205 (2018) 1 - p. 34-54 , 2018

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

12

Time‐Varying Transition Probabilities for Markov Regime Swi..:

Bazzi, Marco ; Blasques, Francisco ; Koopman, Siem Jan.
Journal of Time Series Analysis. 38 (2016) 3 - p. 458-478 , 2016

Link: https://doi.org/10.1111/..

13

Semiparametric score driven volatility models:

Blasques, Francisco ; Ji, Jiangyu ; Lucas, André
Computational Statistics & Data Analysis. 100 (2016) - p. 58-69 , 2016

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

14

Rejoinder to the discussion "In-Sample Confidence Bands and..:

Blasques, Francisco ; Koopman, Siem Jan ; Łasak, Katarzyna.
International Journal of Forecasting. 32 (2016) 3 - p. 893-894 , 2016

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

15

Spillover dynamics for systemic risk measurement using spat..:

Blasques, Francisco ; Koopman, Siem Jan ; Lucas, Andre.
Journal of Econometrics. 195 (2016) 2 - p. 211-223 , 2016

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