Browsing All of EconStor by Author Blasques, Francisco

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Year of Publication	Title	Author(s)
2012	Stationarity and Ergodicity of Univariate Generalized Autoregressive Score Processes	Blasques, Francisco; Koopman, Siem Jan; Lucas, Andre
2012	Transformed Polynomials for Nonlinear Autoregressive Models of the Conditional Mean	Blasques, Francisco
2013	Stationarity and Ergodicity Regions for Score Driven Dynamic Correlation Models	Blasques, Francisco; Lucas, Andre; Silde, Erkki
2013	Solution-Driven Specification of DSGE Models	Blasques, Francisco
2013	On the Phase Dependence in Time-Varying Correlations Between Time-Series	Blasques, Francisco
2014	Maximum Likelihood Estimation for Correctly Specified Generalized Autoregressive Score Models: Feedback Effects, Contraction Conditions and Asymptotic Properties	Blasques, Francisco; Koopman, Siem Jan; Lucas, and André
2014	Maximum Likelihood Estimation for Generalized Autoregressive Score Models	Blasques, Francisco; Koopman, Siem Jan; Lucas, Andre
2014	Information Theoretic Optimality of Observation Driven Time Series Models	Blasques, Francisco; Koopman, Siem Jan; Lucas, André
2014	Low Frequency and Weighted Likelihood Solutions for Mixed Frequency Dynamic Factor Models	Blasques, Francisco; Koopman, Siem Jan; Mallee, Max
2014	Spillover Dynamics for Systemic Risk Measurement using Spatial Financial Time Series Models	Blasques, Francisco; Koopman, Siem Jan; Lucas, Andre; Schaumburg, Julia
2014	Spillover dynamics for systemic risk measurement using spatial financial time series models	Blasques, Francisco; Koopman, Siem Jan; Lucas, Andre; Schaumburg, Julia
2014	Time Varying Transition Probabilities for Markov Regime Switching Models	Bazzi, Marco; Blasques, Francisco; Koopman, Siem Jan; Lucas, Andre
2014	Optimal Formulations for Nonlinear Autoregressive Processes	Blasques, Francisco; Koopman, Siem Jan; Lucas, André
2015	A Note on "Continuous Invertibility and Stable QML Estimation of the EGARCH(1,1) Model"	Blasques, Francisco; Gorgi, Paolo; Koopman, Siem Jan; Wintenberger, Olivier
2015	In-Sample Confidence Bands and Out-of-Sample Forecast Bands for Time-Varying Parameters in Observation Driven Models	Blasques, Francisco; Koopman, Siem Jan; Lasak, Katarzyna; Lucas, André
2015	In-Sample Bounds for Time-Varying Parameters of Observation Driven Models	Blasques, Francisco; Koopman, Siem Jan; Lasak, Katarzyna; Lucas, André
2015	Penalized Indirect Inference	Blasques, Francisco; Duplinskiy, Artem
2016	A dynamic network model of the unsecured interbank lending market	Blasques, Francisco; Bräuning, Falk; van Lelyveld, Iman
2016	Feasible Invertibility Conditions and Maximum Likelihood Estimation for Observation-Driven Models	Blasques, Francisco; Gorgi, Paolo; Koopman, Siem Jan; Wintenberger, Olivier
2017	Finite Sample Optimality of Score-Driven Volatility Models	Blasques, Francisco; Lucas, André; van Vlodrop, Andries

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