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 1 51 0 2 14 65
A Note on “Continuous Invertibility and Stable QML Estimation of the EGARCH(1,1) Model” 0 0 0 18 0 2 5 30
A Stochastic Recurrence Equation Approach to Stationarity and phi-Mixing of a Class of Nonlinear ARCH Models 0 0 0 111 1 2 20 92
A Time-Varying Parameter Model for Local Explosions 0 0 2 71 0 5 16 132
A dynamic network model of the unsecured interbank lending market 0 2 3 89 0 10 21 342
A dynamic network model of the unsecured interbank lending market 1 1 1 75 3 7 18 220
Accelerating GARCH and Score-Driven Models: Optimality, Estimation and Forecasting 0 0 1 42 0 4 15 83
Dynamic Factor Models with Clustered Loadings: Forecasting Education Flows using Unemployment Data 0 0 0 19 0 5 14 75
Feasible Invertibility Conditions and Maximum Likelihood Estimation for Observation-Driven Models 0 0 0 15 0 2 11 52
Feasible Invertibility Conditions for Maximum Likelihood Estimation for Observation-Driven Models 0 0 0 2 0 3 16 41
Finite Sample Optimality of Score-Driven Volatility Models 0 0 0 49 0 0 6 58
Forecasting in a changing world: from the great recession to the COVID-19 pandemic 0 0 1 94 3 5 15 147
In-Sample Bounds for Time-Varying Parameters of Observation Driven Models 0 0 0 15 0 2 6 61
In-Sample Confidence Bands and Out-of-Sample Forecast Bands for Time-Varying Parameters in Observation Driven Models 0 0 0 61 1 4 14 78
Information Theoretic Optimality of Observation Driven Time Series Models 1 2 4 51 2 5 20 114
Low Frequency and Weighted Likelihood Solutions for Mixed Frequency Dynamic Factor Models 0 0 1 52 1 4 13 108
Maximum Likelihood Estimation for Score-Driven Models 0 1 1 60 1 5 22 209
Maximum Likelihood Estimation for correctly Specified Generalized Autoregressive Score Models: Feedback Effects, Contraction Conditions and Asymptotic Properties 0 0 0 52 1 5 15 133
Missing Observations in Observation-Driven Time Series Models 0 0 0 46 0 2 9 89
On the Phase Dependence in Time-Varying Correlations Between Time-Series 0 0 0 62 1 1 9 67
Optimal Formulations for Nonlinear Autoregressive Processes 0 0 0 53 1 5 16 118
Penalized Indirect Inference 0 0 0 42 0 2 7 86
Smooth Transition Spatial Autoregressive Models 0 0 0 113 3 5 15 128
Solution-Driven Specification of DSGE Models 0 0 0 82 0 1 3 84
Spillover Dynamics for Systemic Risk Measurement using Spatial Financial Time Series Models 0 0 2 70 0 5 19 136
Spillover dynamics for systemic risk measurement using spatial financial time series models 0 0 2 51 2 6 18 167
Stationarity and Ergodicity Regions for Score Driven Dynamic Correlation Models 0 0 0 7 0 3 12 71
Stationarity and Ergodicity of Univariate Generalized Autoregressive Score Processes 0 0 1 61 0 5 17 150
Tail Heterogeneity for Dynamic Covariance Matrices: the F-Riesz Distribution 0 0 1 35 0 3 11 68
Time Varying Transition Probabilities for Markov Regime Switching Models 0 1 2 132 1 18 37 486
Transformed Polynomials for Nonlinear Autoregressive Models of the Conditional Mean 0 0 0 27 1 4 10 101
Zero-Inflated Autoregressive Conditional Duration Model for Discrete Trade Durations with Excessive Zeros 0 0 0 13 2 5 9 83
Zero-Inflated Autoregressive Conditional Duration Model for Discrete Trade Durations with Excessive Zeros 0 0 0 12 0 3 16 64
Total Working Papers 2 7 23 1,733 24 140 469 3,938
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 1 29 0 0 11 205
A stochastic recurrence equations approach for score driven correlation models 0 0 1 2 1 1 8 21
Accelerating score-driven time series models 0 0 1 23 2 2 15 106
Amendments and Corrections 0 0 0 1 0 1 6 16
In-sample confidence bands and out-of-sample forecast bands for time-varying parameters in observation-driven models 0 0 1 31 0 4 12 111
Information-theoretic optimality of observation-driven time series models for continuous responses 0 1 4 26 2 7 22 86
Missing observations in observation-driven time series models 0 0 0 6 1 4 14 37
Nonlinear autoregressive models with optimality properties 0 0 0 3 0 1 9 25
Penalized indirect inference 0 0 0 7 0 4 10 48
Semiparametric score driven volatility models 0 0 3 28 1 4 14 99
Spillover dynamics for systemic risk measurement using spatial financial time series models 0 0 3 46 0 1 23 189
TRANSFORMED POLYNOMIALS FOR NONLINEAR AUTOREGRESSIVE MODELS OF THE CONDITIONAL MEAN 0 0 0 3 0 1 7 35
Time-Varying Transition Probabilities for Markov Regime Switching Models 0 0 7 21 3 15 45 99
Weighted maximum likelihood for dynamic factor analysis and forecasting with mixed frequency data 0 0 1 34 0 3 15 163
Total Journal Articles 0 1 22 260 10 48 211 1,240

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Statistics updated 2026-06-04