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 1 2 6 54
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 0 0 0 72
A Time-Varying Parameter Model for Local Explosions 0 0 0 69 2 2 5 118
A dynamic network model of the unsecured interbank lending market 0 0 0 74 0 0 7 206
A dynamic network model of the unsecured interbank lending market 0 0 0 86 0 0 5 322
Accelerating GARCH and Score-Driven Models: Optimality, Estimation and Forecasting 0 0 2 42 0 1 7 71
Dynamic Factor Models with Clustered Loadings: Forecasting Education Flows using Unemployment Data 0 0 0 19 0 0 1 61
Feasible Invertibility Conditions and Maximum Likelihood Estimation for Observation-Driven Models 0 0 0 15 1 2 4 44
Feasible Invertibility Conditions for Maximum Likelihood Estimation for Observation-Driven Models 0 0 0 2 1 3 4 28
Finite Sample Optimality of Score-Driven Volatility Models 0 0 0 49 0 1 1 53
Forecasting in a changing world: from the great recession to the COVID-19 pandemic 0 0 2 93 1 2 10 136
In-Sample Bounds for Time-Varying Parameters of Observation Driven Models 0 0 0 15 1 1 2 56
In-Sample Confidence Bands and Out-of-Sample Forecast Bands for Time-Varying Parameters in Observation Driven Models 0 0 0 61 1 2 2 66
Information Theoretic Optimality of Observation Driven Time Series Models 1 1 2 48 1 2 4 96
Low Frequency and Weighted Likelihood Solutions for Mixed Frequency Dynamic Factor Models 0 0 1 52 0 1 3 97
Maximum Likelihood Estimation for Score-Driven Models 0 0 1 59 2 3 6 191
Maximum Likelihood Estimation for correctly Specified Generalized Autoregressive Score Models: Feedback Effects, Contraction Conditions and Asymptotic Properties 0 0 2 52 2 2 5 120
Missing Observations in Observation-Driven Time Series Models 0 0 0 46 0 0 1 80
On the Phase Dependence in Time-Varying Correlations Between Time-Series 0 0 0 62 0 0 0 58
Optimal Formulations for Nonlinear Autoregressive Processes 0 0 0 53 1 2 6 105
Penalized Indirect Inference 0 0 0 42 0 0 4 79
Smooth Transition Spatial Autoregressive Models 0 0 2 113 0 2 7 115
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 1 1 1 69 2 2 3 119
Spillover dynamics for systemic risk measurement using spatial financial time series models 0 2 2 51 1 4 4 153
Stationarity and Ergodicity Regions for Score Driven Dynamic Correlation Models 0 0 0 7 2 2 2 61
Stationarity and Ergodicity of Univariate Generalized Autoregressive Score Processes 0 0 0 60 3 3 6 137
Tail Heterogeneity for Dynamic Covariance Matrices: the F-Riesz Distribution 0 1 1 35 0 1 3 59
Time Varying Transition Probabilities for Markov Regime Switching Models 1 1 2 131 5 7 13 459
Transformed Polynomials for Nonlinear Autoregressive Models of the Conditional Mean 0 0 0 27 1 1 3 92
Zero-Inflated Autoregressive Conditional Duration Model for Discrete Trade Durations with Excessive Zeros 0 0 0 13 0 0 4 75
Zero-Inflated Autoregressive Conditional Duration Model for Discrete Trade Durations with Excessive Zeros 0 0 0 12 1 1 5 51
Total Working Papers 3 6 21 1,719 29 49 134 3,540
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 1 2 7 197
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 1 1 6 93
Amendments and Corrections 0 0 0 1 0 0 0 10
In-sample confidence bands and out-of-sample forecast bands for time-varying parameters in observation-driven models 0 0 0 30 1 2 3 101
Information-theoretic optimality of observation-driven time series models for continuous responses 0 1 1 23 2 3 3 67
Missing observations in observation-driven time series models 0 0 0 6 2 3 4 26
Nonlinear autoregressive models with optimality properties 0 0 1 3 1 1 3 17
Penalized indirect inference 0 0 0 7 0 0 0 38
Semiparametric score driven volatility models 0 1 2 26 0 2 4 87
Spillover dynamics for systemic risk measurement using spatial financial time series models 0 0 4 46 1 4 16 177
TRANSFORMED POLYNOMIALS FOR NONLINEAR AUTOREGRESSIVE MODELS OF THE CONDITIONAL MEAN 0 0 0 3 0 0 1 28
Time-Varying Transition Probabilities for Markov Regime Switching Models 0 0 1 14 2 5 11 60
Weighted maximum likelihood for dynamic factor analysis and forecasting with mixed frequency data 0 0 0 33 0 1 4 150
Total Journal Articles 0 2 12 244 11 24 64 1,065

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Statistics updated 2025-11-08