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 1 3 51 0 1 4 52
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 0 0 3 116
A dynamic network model of the unsecured interbank lending market 0 0 1 86 0 1 7 322
A dynamic network model of the unsecured interbank lending market 0 0 0 74 0 4 8 206
Accelerating GARCH and Score-Driven Models: Optimality, Estimation and Forecasting 0 1 2 42 1 3 7 71
Dynamic Factor Models with Clustered Loadings: Forecasting Education Flows using Unemployment Data 0 0 0 19 0 0 2 61
Feasible Invertibility Conditions and Maximum Likelihood Estimation for Observation-Driven Models 0 0 0 15 0 1 2 42
Feasible Invertibility Conditions for Maximum Likelihood Estimation for Observation-Driven Models 0 0 0 2 1 1 3 26
Finite Sample Optimality of Score-Driven Volatility Models 0 0 0 49 1 1 1 53
Forecasting in a changing world: from the great recession to the COVID-19 pandemic 0 0 2 93 1 3 9 135
In-Sample Bounds for Time-Varying Parameters of Observation Driven Models 0 0 0 15 0 0 1 55
In-Sample Confidence Bands and Out-of-Sample Forecast Bands for Time-Varying Parameters in Observation Driven Models 0 0 0 61 0 0 0 64
Information Theoretic Optimality of Observation Driven Time Series Models 0 0 1 47 1 1 3 95
Low Frequency and Weighted Likelihood Solutions for Mixed Frequency Dynamic Factor Models 0 1 1 52 1 2 3 97
Maximum Likelihood Estimation for Score-Driven Models 0 0 1 59 0 1 3 188
Maximum Likelihood Estimation for correctly Specified Generalized Autoregressive Score Models: Feedback Effects, Contraction Conditions and Asymptotic Properties 0 0 3 52 0 0 4 118
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 1 53 1 2 6 104
Penalized Indirect Inference 0 0 0 42 0 0 6 79
Smooth Transition Spatial Autoregressive Models 0 0 2 113 2 2 8 115
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 0 0 0 68 0 0 3 117
Spillover dynamics for systemic risk measurement using spatial financial time series models 0 0 0 49 1 1 3 150
Stationarity and Ergodicity Regions for Score Driven Dynamic Correlation Models 0 0 0 7 0 0 0 59
Stationarity and Ergodicity of Univariate Generalized Autoregressive Score Processes 0 0 0 60 0 1 4 134
Tail Heterogeneity for Dynamic Covariance Matrices: the F-Riesz Distribution 0 0 0 34 0 1 2 58
Time Varying Transition Probabilities for Markov Regime Switching Models 0 0 1 130 1 4 10 453
Transformed Polynomials for Nonlinear Autoregressive Models of the Conditional Mean 0 0 0 27 0 0 3 91
Zero-Inflated Autoregressive Conditional Duration Model for Discrete Trade Durations with Excessive Zeros 0 0 0 12 0 2 5 50
Zero-Inflated Autoregressive Conditional Duration Model for Discrete Trade Durations with Excessive Zeros 0 0 0 13 0 1 4 75
Total Working Papers 0 3 18 1,713 11 33 116 3,502
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 7 196
A stochastic recurrence equations approach for score driven correlation models 0 0 0 1 0 1 2 14
Accelerating score-driven time series models 0 1 6 23 0 1 8 92
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 0 0 1 99
Information-theoretic optimality of observation-driven time series models for continuous responses 0 0 1 22 0 0 3 64
Missing observations in observation-driven time series models 0 0 0 6 1 1 2 24
Nonlinear autoregressive models with optimality properties 0 0 1 3 0 0 2 16
Penalized indirect inference 0 0 0 7 0 0 0 38
Semiparametric score driven volatility models 1 1 3 26 1 1 4 86
Spillover dynamics for systemic risk measurement using spatial financial time series models 0 3 6 46 1 8 15 174
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 3 9 57
Weighted maximum likelihood for dynamic factor analysis and forecasting with mixed frequency data 0 0 0 33 0 1 4 149
Total Journal Articles 1 5 18 243 6 18 58 1,047

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Statistics updated 2025-09-05