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 0 4 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 1 14 19 91
A Time-Varying Parameter Model for Local Explosions 0 1 2 71 1 4 13 128
A dynamic network model of the unsecured interbank lending market 2 2 3 89 5 8 18 337
A dynamic network model of the unsecured interbank lending market 0 0 0 74 2 8 14 215
Accelerating GARCH and Score-Driven Models: Optimality, Estimation and Forecasting 0 0 1 42 3 8 14 82
Dynamic Factor Models with Clustered Loadings: Forecasting Education Flows using Unemployment Data 0 0 0 19 3 9 13 73
Feasible Invertibility Conditions and Maximum Likelihood Estimation for Observation-Driven Models 0 0 0 15 1 5 10 51
Feasible Invertibility Conditions for Maximum Likelihood Estimation for Observation-Driven Models 0 0 0 2 2 7 16 40
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 2 6 14 144
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 0 7 10 74
Information Theoretic Optimality of Observation Driven Time Series Models 0 0 2 49 0 6 16 109
Low Frequency and Weighted Likelihood Solutions for Mixed Frequency Dynamic Factor Models 0 0 1 52 1 5 11 105
Maximum Likelihood Estimation for Score-Driven Models 1 1 1 60 2 11 20 206
Maximum Likelihood Estimation for correctly Specified Generalized Autoregressive Score Models: Feedback Effects, Contraction Conditions and Asymptotic Properties 0 0 0 52 0 4 11 128
Missing Observations in Observation-Driven Time Series Models 0 0 0 46 0 4 7 87
On the Phase Dependence in Time-Varying Correlations Between Time-Series 0 0 0 62 0 4 8 66
Optimal Formulations for Nonlinear Autoregressive Processes 0 0 0 53 1 6 13 114
Penalized Indirect Inference 0 0 0 42 1 6 6 85
Smooth Transition Spatial Autoregressive Models 0 0 1 113 0 4 11 123
Solution-Driven Specification of DSGE Models 0 0 0 82 1 3 3 84
Spillover Dynamics for Systemic Risk Measurement using Spatial Financial Time Series Models 0 1 2 70 2 8 16 133
Spillover dynamics for systemic risk measurement using spatial financial time series models 0 0 2 51 2 4 14 163
Stationarity and Ergodicity Regions for Score Driven Dynamic Correlation Models 0 0 0 7 2 7 11 70
Stationarity and Ergodicity of Univariate Generalized Autoregressive Score Processes 0 1 1 61 4 9 18 149
Tail Heterogeneity for Dynamic Covariance Matrices: the F-Riesz Distribution 0 0 1 35 0 2 8 65
Time Varying Transition Probabilities for Markov Regime Switching Models 1 1 3 132 6 11 26 474
Transformed Polynomials for Nonlinear Autoregressive Models of the Conditional Mean 0 0 0 27 0 3 7 97
Zero-Inflated Autoregressive Conditional Duration Model for Discrete Trade Durations with Excessive Zeros 0 0 0 12 1 10 14 62
Zero-Inflated Autoregressive Conditional Duration Model for Discrete Trade Durations with Excessive Zeros 0 0 0 13 2 3 7 80
Total Working Papers 4 8 24 1,730 45 198 396 3,843
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 5 13 205
A stochastic recurrence equations approach for score driven correlation models 0 1 1 2 0 2 7 20
Accelerating score-driven time series models 0 0 1 23 0 6 13 104
Amendments and Corrections 0 0 0 1 0 1 5 15
In-sample confidence bands and out-of-sample forecast bands for time-varying parameters in observation-driven models 0 1 1 31 2 6 11 109
Information-theoretic optimality of observation-driven time series models for continuous responses 0 1 3 25 2 7 17 81
Missing observations in observation-driven time series models 0 0 0 6 0 4 10 33
Nonlinear autoregressive models with optimality properties 0 0 0 3 0 5 8 24
Penalized indirect inference 0 0 0 7 0 5 6 44
Semiparametric score driven volatility models 0 2 3 28 1 5 12 96
Spillover dynamics for systemic risk measurement using spatial financial time series models 0 0 3 46 0 5 24 188
TRANSFORMED POLYNOMIALS FOR NONLINEAR AUTOREGRESSIVE MODELS OF THE CONDITIONAL MEAN 0 0 0 3 1 4 7 35
Time-Varying Transition Probabilities for Markov Regime Switching Models 0 4 8 21 7 22 38 91
Weighted maximum likelihood for dynamic factor analysis and forecasting with mixed frequency data 0 0 1 34 0 6 13 160
Total Journal Articles 0 9 22 259 13 83 184 1,205

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Statistics updated 2026-04-09