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Francisco Blasques
Francisco Blasques
Professor of Econometrics and Data Science at Vrije Universiteit Amsterdam
Email verificata su vu.nl - Home page
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Citata da
Citata da
Anno
Information-theoretic optimality of observation-driven time series models for continuous responses
F Blasques, SJ Koopman, A Lucas
Biometrika 102 (2), 325-343, 2015
1412015
Spillover dynamics for systemic risk measurement using spatial financial time series models
F Blasques, SJ Koopman, A Lucas, J Schaumburg
Journal of Econometrics 195 (2), 211-223, 2016
1292016
A dynamic network model of the unsecured interbank lending market
F Blasques, F Bräuning, I Van Lelyveld
Journal of Economic Dynamics and Control 90, 310-342, 2018
942018
Time‐varying transition probabilities for Markov regime switching models
M Bazzi, F Blasques, SJ Koopman, A Lucas
Journal of Time Series Analysis 38 (3), 458-478, 2017
942017
Maximum likelihood estimation for generalized autoregressive score models
F Blasques, SJ Koopman, A Lucas
Tinbergen Institute Discussion Paper, 2014
90*2014
Feasible invertibility conditions and maximum likelihood estimation for observation-driven models
F Blasques, P Gorgi, SJ Koopman, O Wintenberger
562018
Stationarity and ergodicity of univariate generalized autoregressive score processes
F Blasques, SJ Koopman, A Lucas
532014
In-sample confidence bands and out-of-sample forecast bands for time-varying parameters in observation-driven models
F Blasques, SJ Koopman, K Łasak, A Lucas
International Journal of Forecasting 32 (3), 875-887, 2016
512016
Weighted maximum likelihood for dynamic factor analysis and forecasting with mixed frequency data
F Blasques, SJ Koopman, M Mallee, Z Zhang
Journal of Econometrics 193 (2), 405-417, 2016
252016
Maximum likelihood estimation for correctly specified generalized autoregressive score models: feedback effects, contraction conditions and asymptotic properties
F Blasques, SJ Koopman
Tinbergen institute discussion paper, 2014
202014
Stationarity and ergodicity of univariate generalized autoregressive score processes
F Blasques, SJ Koopman, A Lucas
Tinbergen Institute discussion paper, 2012
182012
Optimal formulations for nonlinear autoregressive processes
F Blasques, SJ Koopman, A Lucas
Tinbergen Institute Discussion Paper 14-103/III, 2014
162014
Maximum likelihood estimation for score-driven models
F Blasques, SJ Koopman, A Lucas
Tinbergen Institute Discussion Paper 14-029/III, 2014
152014
Information theoretic optimality of observation driven time series models
F Blasques, SJ Koopman, A Lucas
Tinbergen Institute Discussion paper 14-046/III, 2014
142014
Dynamic spatial autoregressive models with time-varying spatial weighting matrices
AG Billé, F Blasques, L Catania
Available at SSRN 3241470, 2020
112020
Zero-inflated autoregressive conditional duration model for discrete trade durations with excessive zeros
F Blasques, V Holý, P Tomanová
arXiv preprint arXiv:1812.07318, 2018
112018
Dynamic factor models with clustered loadings: Forecasting education flows using unemployment data
F Blasques, MH Hoogerkamp, SJ Koopman, I van de Werve
International Journal of Forecasting 37 (4), 1426-1441, 2021
102021
Nonlinear autoregressive models with optimality properties
F Blasques, SJ Koopman, A Lucas
Econometric Reviews 39 (6), 559-578, 2020
102020
Quasi score-driven models
F Blasques, C Francq, S Laurent
Journal of Econometrics, 2022
82022
Finite sample optimality of score-driven volatility models: Some Monte Carlo evidence
F Blasques, A Lucas, AC van Vlodrop
Econometrics and Statistics 19, 47-57, 2021
82021
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