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Tinbergen Institute, Amsterdam and Rotterdam
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Year of Publication
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2013
Stationarity and Ergodicity Regions for Score Driven Dynamic Correlation Models
Blasques, Francisco
;
Lucas, Andre
;
Silde, Erkki
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
2012
Stationarity and Ergodicity of Univariate Generalized Autoregressive Score Processes
Blasques, Francisco
;
Koopman, Siem Jan
;
Lucas, Andre
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
2022
Maximum likelihood estimation for non-stationary location models with mixture of normal distributions
Blasques, Francisco
;
van Brummelen, Janneke
;
Gorgi, Paolo
;
Koopman, Siem Jan
2012
Transformed Polynomials for Nonlinear Autoregressive Models of the Conditional Mean
Blasques, Francisco
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
2021
Dynamic Factor Models with Clustered Loadings: Forecasting Education Flows using Unemployment Data
Blasques, Francisco
;
Hoogerkamp, Meindert Heres
;
Koopman, Siem Jan
;
van de Werve, Ilka
2023
A Multilevel Factor Model for Economic Activity with Observation Driven Dynamic Factors
Artemova, Mariia
;
Blasques, Francisco
;
Koopman, Siem Jan
2014
Maximum Likelihood Estimation for Generalized Autoregressive Score Models
Blasques, Francisco
;
Koopman, Siem Jan
;
Lucas, Andre
Author
24
Koopman, Siem Jan
6
Lucas, Andre
5
Gorgi, Paolo
5
Lucas, André
3
Nientker, Marc
2
Artemova, Mariia
2
Lasak, Katarzyna
2
Mingoli, Gabriele
2
Moussa, Karim
2
van Brummelen, Janneke
.
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2020 - 2024
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