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Blasques, Francisco
71
results:
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Online (71)
Mediatypes
Articles (Online) (18)
OpenAccess-fulltext (53)
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english (69)
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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 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/..
?
6
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/..
?
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
Penalized indirect inference:
Blasques, Francisco
;
Duplinskiy, Artem
Journal of Econometrics. 205 (2018) 1 - p. 34-54 , 2018
Link:
https://doi.org/10.1016/..
?
11
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/..
?
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
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/..
?
15
In-sample confidence bands and out-of-sample forecast bands..:
Blasques, Francisco
;
Koopman, Siem Jan
;
Łasak, Katarzyna
.
International Journal of Forecasting. 32 (2016) 3 - p. 875-887 , 2016
Link:
https://doi.org/10.1016/..
1-15