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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
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
2014
Maximum Likelihood Estimation for Generalized Autoregressive Score Models
Blasques, Francisco
;
Koopman, Siem Jan
;
Lucas, Andre
2019
Transformed Perturbation Solutions for Dynamic Stochastic General Equilibrium Models
Blasques, Francisco
;
Nientker, Marc
2018
A Time-Varying Parameter Model for Local Explosions
Blasques, Francisco
;
Koopman, Siem Jan
;
Nientker, Marc
2017
Finite Sample Optimality of Score-Driven Volatility Models
Blasques, Francisco
;
Lucas, André
;
van Vlodrop, Andries
Author
14
Koopman, Siem Jan
5
Lucas, Andre
5
Lucas, André
3
Gorgi, Paolo
3
Nientker, Marc
2
Lasak, Katarzyna
2
Wintenberger, Olivier
1
Andree, Bo Pieter Johannes
1
Bazzi, Marco
1
Duplinskiy, Artem
.
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