Access Statistics for Francisco A. A. Blasques

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A New Class of Robust Observation-Driven Models 0 0 3 51 2 4 8 56
A Note on “Continuous Invertibility and Stable QML Estimation of the EGARCH(1,1) Model” 0 0 0 18 0 0 1 25
A Stochastic Recurrence Equation Approach to Stationarity and phi-Mixing of a Class of Nonlinear ARCH Models 0 0 0 111 1 1 1 73
A Time-Varying Parameter Model for Local Explosions 1 1 1 70 4 6 8 122
A dynamic network model of the unsecured interbank lending market 1 1 1 87 5 5 9 327
A dynamic network model of the unsecured interbank lending market 0 0 0 74 1 1 7 207
Accelerating GARCH and Score-Driven Models: Optimality, Estimation and Forecasting 0 0 2 42 1 1 7 72
Dynamic Factor Models with Clustered Loadings: Forecasting Education Flows using Unemployment Data 0 0 0 19 1 1 2 62
Feasible Invertibility Conditions and Maximum Likelihood Estimation for Observation-Driven Models 0 0 0 15 1 3 5 45
Feasible Invertibility Conditions for Maximum Likelihood Estimation for Observation-Driven Models 0 0 0 2 1 3 5 29
Finite Sample Optimality of Score-Driven Volatility Models 0 0 0 49 2 2 3 55
Forecasting in a changing world: from the great recession to the COVID-19 pandemic 0 0 2 93 1 2 10 137
In-Sample Bounds for Time-Varying Parameters of Observation Driven Models 0 0 0 15 1 2 3 57
In-Sample Confidence Bands and Out-of-Sample Forecast Bands for Time-Varying Parameters in Observation Driven Models 0 0 0 61 0 2 2 66
Information Theoretic Optimality of Observation Driven Time Series Models 0 1 1 48 4 5 7 100
Low Frequency and Weighted Likelihood Solutions for Mixed Frequency Dynamic Factor Models 0 0 1 52 2 2 5 99
Maximum Likelihood Estimation for Score-Driven Models 0 0 0 59 2 5 7 193
Maximum Likelihood Estimation for correctly Specified Generalized Autoregressive Score Models: Feedback Effects, Contraction Conditions and Asymptotic Properties 0 0 1 52 2 4 6 122
Missing Observations in Observation-Driven Time Series Models 0 0 0 46 1 1 2 81
On the Phase Dependence in Time-Varying Correlations Between Time-Series 0 0 0 62 2 2 2 60
Optimal Formulations for Nonlinear Autoregressive Processes 0 0 0 53 1 2 6 106
Penalized Indirect Inference 0 0 0 42 0 0 2 79
Smooth Transition Spatial Autoregressive Models 0 0 2 113 1 1 7 116
Solution-Driven Specification of DSGE Models 0 0 0 82 0 0 0 81
Spillover Dynamics for Systemic Risk Measurement using Spatial Financial Time Series Models 0 1 1 69 4 6 6 123
Spillover dynamics for systemic risk measurement using spatial financial time series models 0 2 2 51 2 5 6 155
Stationarity and Ergodicity Regions for Score Driven Dynamic Correlation Models 0 0 0 7 1 3 3 62
Stationarity and Ergodicity of Univariate Generalized Autoregressive Score Processes 0 0 0 60 3 6 9 140
Tail Heterogeneity for Dynamic Covariance Matrices: the F-Riesz Distribution 0 1 1 35 2 3 5 61
Time Varying Transition Probabilities for Markov Regime Switching Models 0 1 2 131 2 8 14 461
Transformed Polynomials for Nonlinear Autoregressive Models of the Conditional Mean 0 0 0 27 0 1 3 92
Zero-Inflated Autoregressive Conditional Duration Model for Discrete Trade Durations with Excessive Zeros 0 0 0 13 1 1 5 76
Zero-Inflated Autoregressive Conditional Duration Model for Discrete Trade Durations with Excessive Zeros 0 0 0 12 1 2 6 52
Total Working Papers 2 8 20 1,721 52 90 172 3,592
1 registered items for which data could not be found

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A dynamic network model of the unsecured interbank lending market 0 0 0 28 2 3 9 199
A stochastic recurrence equations approach for score driven correlation models 0 0 0 1 0 0 2 14
Accelerating score-driven time series models 0 0 3 23 3 4 9 96
Amendments and Corrections 0 0 0 1 2 2 2 12
In-sample confidence bands and out-of-sample forecast bands for time-varying parameters in observation-driven models 0 0 0 30 1 3 4 102
Information-theoretic optimality of observation-driven time series models for continuous responses 0 1 1 23 2 5 5 69
Missing observations in observation-driven time series models 0 0 0 6 1 3 5 27
Nonlinear autoregressive models with optimality properties 0 0 1 3 0 1 3 17
Penalized indirect inference 0 0 0 7 1 1 1 39
Semiparametric score driven volatility models 0 0 2 26 3 4 7 90
Spillover dynamics for systemic risk measurement using spatial financial time series models 0 0 3 46 2 5 16 179
TRANSFORMED POLYNOMIALS FOR NONLINEAR AUTOREGRESSIVE MODELS OF THE CONDITIONAL MEAN 0 0 0 3 1 1 2 29
Time-Varying Transition Probabilities for Markov Regime Switching Models 3 3 4 17 6 9 17 66
Weighted maximum likelihood for dynamic factor analysis and forecasting with mixed frequency data 1 1 1 34 1 2 5 151
Total Journal Articles 4 5 15 248 25 43 87 1,090

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Statistics updated 2025-12-06