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 2 51 1 7 14 63
A Note on “Continuous Invertibility and Stable QML Estimation of the EGARCH(1,1) Model” 0 0 0 18 0 3 3 28
A Stochastic Recurrence Equation Approach to Stationarity and phi-Mixing of a Class of Nonlinear ARCH Models 0 0 0 111 4 17 18 90
A Time-Varying Parameter Model for Local Explosions 1 1 2 71 1 5 13 127
A dynamic network model of the unsecured interbank lending market 0 0 1 87 1 5 13 332
A dynamic network model of the unsecured interbank lending market 0 0 0 74 0 6 12 213
Accelerating GARCH and Score-Driven Models: Optimality, Estimation and Forecasting 0 0 2 42 3 7 12 79
Dynamic Factor Models with Clustered Loadings: Forecasting Education Flows using Unemployment Data 0 0 0 19 3 8 10 70
Feasible Invertibility Conditions and Maximum Likelihood Estimation for Observation-Driven Models 0 0 0 15 2 5 9 50
Feasible Invertibility Conditions for Maximum Likelihood Estimation for Observation-Driven Models 0 0 0 2 2 9 14 38
Finite Sample Optimality of Score-Driven Volatility Models 0 0 0 49 0 3 6 58
Forecasting in a changing world: from the great recession to the COVID-19 pandemic 0 1 2 94 0 5 12 142
In-Sample Bounds for Time-Varying Parameters of Observation Driven Models 0 0 0 15 0 2 5 59
In-Sample Confidence Bands and Out-of-Sample Forecast Bands for Time-Varying Parameters in Observation Driven Models 0 0 0 61 2 8 10 74
Information Theoretic Optimality of Observation Driven Time Series Models 0 1 2 49 4 9 16 109
Low Frequency and Weighted Likelihood Solutions for Mixed Frequency Dynamic Factor Models 0 0 1 52 1 5 10 104
Maximum Likelihood Estimation for Score-Driven Models 0 0 0 59 3 11 18 204
Maximum Likelihood Estimation for correctly Specified Generalized Autoregressive Score Models: Feedback Effects, Contraction Conditions and Asymptotic Properties 0 0 1 52 1 6 12 128
Missing Observations in Observation-Driven Time Series Models 0 0 0 46 2 6 7 87
On the Phase Dependence in Time-Varying Correlations Between Time-Series 0 0 0 62 2 6 8 66
Optimal Formulations for Nonlinear Autoregressive Processes 0 0 0 53 0 7 12 113
Penalized Indirect Inference 0 0 0 42 1 5 5 84
Smooth Transition Spatial Autoregressive Models 0 0 2 113 0 7 12 123
Solution-Driven Specification of DSGE Models 0 0 0 82 1 2 2 83
Spillover Dynamics for Systemic Risk Measurement using Spatial Financial Time Series Models 0 1 2 70 1 8 14 131
Spillover dynamics for systemic risk measurement using spatial financial time series models 0 0 2 51 0 6 12 161
Stationarity and Ergodicity Regions for Score Driven Dynamic Correlation Models 0 0 0 7 1 6 9 68
Stationarity and Ergodicity of Univariate Generalized Autoregressive Score Processes 1 1 1 61 3 5 14 145
Tail Heterogeneity for Dynamic Covariance Matrices: the F-Riesz Distribution 0 0 1 35 2 4 8 65
Time Varying Transition Probabilities for Markov Regime Switching Models 0 0 2 131 1 7 20 468
Transformed Polynomials for Nonlinear Autoregressive Models of the Conditional Mean 0 0 0 27 2 5 7 97
Zero-Inflated Autoregressive Conditional Duration Model for Discrete Trade Durations with Excessive Zeros 0 0 0 12 4 9 13 61
Zero-Inflated Autoregressive Conditional Duration Model for Discrete Trade Durations with Excessive Zeros 0 0 0 13 0 2 6 78
Total Working Papers 2 5 23 1,726 48 206 356 3,798
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 1 1 29 0 6 14 205
A stochastic recurrence equations approach for score driven correlation models 0 1 1 2 0 6 7 20
Accelerating score-driven time series models 0 0 3 23 0 8 15 104
Amendments and Corrections 0 0 0 1 0 3 5 15
In-sample confidence bands and out-of-sample forecast bands for time-varying parameters in observation-driven models 1 1 1 31 1 5 9 107
Information-theoretic optimality of observation-driven time series models for continuous responses 0 2 3 25 1 10 15 79
Missing observations in observation-driven time series models 0 0 0 6 1 6 10 33
Nonlinear autoregressive models with optimality properties 0 0 1 3 2 7 9 24
Penalized indirect inference 0 0 0 7 1 5 6 44
Semiparametric score driven volatility models 0 2 4 28 1 5 12 95
Spillover dynamics for systemic risk measurement using spatial financial time series models 0 0 3 46 1 9 24 188
TRANSFORMED POLYNOMIALS FOR NONLINEAR AUTOREGRESSIVE MODELS OF THE CONDITIONAL MEAN 0 0 0 3 0 5 6 34
Time-Varying Transition Probabilities for Markov Regime Switching Models 2 4 8 21 10 18 32 84
Weighted maximum likelihood for dynamic factor analysis and forecasting with mixed frequency data 0 0 1 34 0 9 13 160
Total Journal Articles 3 11 26 259 18 102 177 1,192

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Statistics updated 2026-03-04