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 0 51 0 2 13 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 0 1 20 92
A Time-Varying Parameter Model for Local Explosions 0 0 2 71 0 4 16 132
A dynamic network model of the unsecured interbank lending market 0 0 3 89 2 7 22 344
A dynamic network model of the unsecured interbank lending market 0 1 1 75 0 5 18 220
Accelerating GARCH and Score-Driven Models: Optimality, Estimation and Forecasting 0 0 0 42 0 1 13 83
Dynamic Factor Models with Clustered Loadings: Forecasting Education Flows using Unemployment Data 0 0 0 19 0 2 14 75
Feasible Invertibility Conditions and Maximum Likelihood Estimation for Observation-Driven Models 0 0 0 15 0 1 11 52
Feasible Invertibility Conditions for Maximum Likelihood Estimation for Observation-Driven Models 0 0 0 2 0 1 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 2 5 16 149
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 5 15 79
Information Theoretic Optimality of Observation Driven Time Series Models 1 3 5 52 1 6 21 115
Low Frequency and Weighted Likelihood Solutions for Mixed Frequency Dynamic Factor Models 0 0 0 52 0 3 12 108
Maximum Likelihood Estimation for Score-Driven Models 0 0 1 60 0 3 22 209
Maximum Likelihood Estimation for correctly Specified Generalized Autoregressive Score Models: Feedback Effects, Contraction Conditions and Asymptotic Properties 0 0 0 52 0 5 15 133
Missing Observations in Observation-Driven Time Series Models 0 0 0 46 1 3 10 90
On the Phase Dependence in Time-Varying Correlations Between Time-Series 0 0 0 62 0 1 9 67
Optimal Formulations for Nonlinear Autoregressive Processes 0 0 0 53 0 4 16 118
Penalized Indirect Inference 0 0 0 42 0 1 7 86
Smooth Transition Spatial Autoregressive Models 0 0 0 113 3 8 18 131
Solution-Driven Specification of DSGE Models 0 0 0 82 0 0 3 84
Spillover Dynamics for Systemic Risk Measurement using Spatial Financial Time Series Models 0 0 2 70 0 3 19 136
Spillover dynamics for systemic risk measurement using spatial financial time series models 0 0 2 51 1 5 19 168
Stationarity and Ergodicity Regions for Score Driven Dynamic Correlation Models 0 0 0 7 0 1 12 71
Stationarity and Ergodicity of Univariate Generalized Autoregressive Score Processes 0 0 1 61 1 2 18 151
Tail Heterogeneity for Dynamic Covariance Matrices: the F-Riesz Distribution 0 0 1 35 0 3 10 68
Time Varying Transition Probabilities for Markov Regime Switching Models 0 0 2 132 2 14 37 488
Transformed Polynomials for Nonlinear Autoregressive Models of the Conditional Mean 0 0 0 27 1 5 11 102
Zero-Inflated Autoregressive Conditional Duration Model for Discrete Trade Durations with Excessive Zeros 0 0 0 13 0 3 9 83
Zero-Inflated Autoregressive Conditional Duration Model for Discrete Trade Durations with Excessive Zeros 0 0 0 12 1 3 17 65
Total Working Papers 1 4 21 1,734 16 111 476 3,954
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 1 1 11 206
A stochastic recurrence equations approach for score driven correlation models 0 0 1 2 0 1 8 21
Accelerating score-driven time series models 0 0 0 23 0 2 14 106
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 1 1 2 32 1 3 13 112
Information-theoretic optimality of observation-driven time series models for continuous responses 0 1 4 26 0 5 22 86
Missing observations in observation-driven time series models 0 0 0 6 0 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 0 3 14 99
Spillover dynamics for systemic risk measurement using spatial financial time series models 0 0 1 46 0 1 19 189
TRANSFORMED POLYNOMIALS FOR NONLINEAR AUTOREGRESSIVE MODELS OF THE CONDITIONAL MEAN 0 0 0 3 0 0 7 35
Time-Varying Transition Probabilities for Markov Regime Switching Models 0 0 7 21 1 9 46 100
Weighted maximum likelihood for dynamic factor analysis and forecasting with mixed frequency data 0 0 1 34 0 3 15 163
Total Journal Articles 1 2 20 261 3 38 208 1,243

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Statistics updated 2026-07-10