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 3 6 11 59
A Note on “Continuous Invertibility and Stable QML Estimation of the EGARCH(1,1) Model” 0 0 0 18 0 0 0 25
A Stochastic Recurrence Equation Approach to Stationarity and phi-Mixing of a Class of Nonlinear ARCH Models 0 0 0 111 4 5 5 77
A Time-Varying Parameter Model for Local Explosions 0 1 1 70 2 8 10 124
A dynamic network model of the unsecured interbank lending market 0 1 1 87 2 7 10 329
A dynamic network model of the unsecured interbank lending market 0 0 0 74 0 1 7 207
Accelerating GARCH and Score-Driven Models: Optimality, Estimation and Forecasting 0 0 2 42 2 3 9 74
Dynamic Factor Models with Clustered Loadings: Forecasting Education Flows using Unemployment Data 0 0 0 19 2 3 4 64
Feasible Invertibility Conditions and Maximum Likelihood Estimation for Observation-Driven Models 0 0 0 15 1 3 6 46
Feasible Invertibility Conditions for Maximum Likelihood Estimation for Observation-Driven Models 0 0 0 2 4 6 9 33
Finite Sample Optimality of Score-Driven Volatility Models 0 0 0 49 0 2 3 55
Forecasting in a changing world: from the great recession to the COVID-19 pandemic 0 0 2 93 1 3 10 138
In-Sample Bounds for Time-Varying Parameters of Observation Driven Models 0 0 0 15 0 2 3 57
In-Sample Confidence Bands and Out-of-Sample Forecast Bands for Time-Varying Parameters in Observation Driven Models 0 0 0 61 1 2 3 67
Information Theoretic Optimality of Observation Driven Time Series Models 1 2 2 49 3 8 10 103
Low Frequency and Weighted Likelihood Solutions for Mixed Frequency Dynamic Factor Models 0 0 1 52 1 3 6 100
Maximum Likelihood Estimation for Score-Driven Models 0 0 0 59 2 6 9 195
Maximum Likelihood Estimation for correctly Specified Generalized Autoregressive Score Models: Feedback Effects, Contraction Conditions and Asymptotic Properties 0 0 1 52 2 6 8 124
Missing Observations in Observation-Driven Time Series Models 0 0 0 46 2 3 4 83
On the Phase Dependence in Time-Varying Correlations Between Time-Series 0 0 0 62 2 4 4 62
Optimal Formulations for Nonlinear Autoregressive Processes 0 0 0 53 2 4 8 108
Penalized Indirect Inference 0 0 0 42 0 0 0 79
Smooth Transition Spatial Autoregressive Models 0 0 2 113 3 4 8 119
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 1 1 69 2 8 8 125
Spillover dynamics for systemic risk measurement using spatial financial time series models 0 0 2 51 4 7 10 159
Stationarity and Ergodicity Regions for Score Driven Dynamic Correlation Models 0 0 0 7 1 4 4 63
Stationarity and Ergodicity of Univariate Generalized Autoregressive Score Processes 0 0 0 60 0 6 9 140
Tail Heterogeneity for Dynamic Covariance Matrices: the F-Riesz Distribution 0 0 1 35 2 4 7 63
Time Varying Transition Probabilities for Markov Regime Switching Models 0 1 2 131 2 9 16 463
Transformed Polynomials for Nonlinear Autoregressive Models of the Conditional Mean 0 0 0 27 2 3 5 94
Zero-Inflated Autoregressive Conditional Duration Model for Discrete Trade Durations with Excessive Zeros 0 0 0 12 0 2 5 52
Zero-Inflated Autoregressive Conditional Duration Model for Discrete Trade Durations with Excessive Zeros 0 0 0 13 1 2 6 77
Total Working Papers 1 6 21 1,722 53 134 217 3,645
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 1 1 1 29 1 4 10 200
A stochastic recurrence equations approach for score driven correlation models 0 0 0 1 4 4 6 18
Accelerating score-driven time series models 0 0 3 23 2 6 10 98
Amendments and Corrections 0 0 0 1 2 4 4 14
In-sample confidence bands and out-of-sample forecast bands for time-varying parameters in observation-driven models 0 0 0 30 1 3 5 103
Information-theoretic optimality of observation-driven time series models for continuous responses 1 1 2 24 5 9 10 74
Missing observations in observation-driven time series models 0 0 0 6 2 5 6 29
Nonlinear autoregressive models with optimality properties 0 0 1 3 2 3 5 19
Penalized indirect inference 0 0 0 7 0 1 1 39
Semiparametric score driven volatility models 0 0 2 26 1 4 8 91
Spillover dynamics for systemic risk measurement using spatial financial time series models 0 0 3 46 4 7 20 183
TRANSFORMED POLYNOMIALS FOR NONLINEAR AUTOREGRESSIVE MODELS OF THE CONDITIONAL MEAN 0 0 0 3 2 3 4 31
Time-Varying Transition Probabilities for Markov Regime Switching Models 0 3 4 17 3 11 19 69
Weighted maximum likelihood for dynamic factor analysis and forecasting with mixed frequency data 0 1 1 34 3 4 8 154
Total Journal Articles 2 6 17 250 32 68 116 1,122

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Statistics updated 2026-01-09