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 0 13 65
A Note on “Continuous Invertibility and Stable QML Estimation of the EGARCH(1,1) Model” 0 0 0 18 1 1 6 31
A Stochastic Recurrence Equation Approach to Stationarity and phi-Mixing of a Class of Nonlinear ARCH Models 0 0 0 111 0 0 20 92
A Time-Varying Parameter Model for Local Explosions 0 0 2 71 4 5 21 137
A dynamic network model of the unsecured interbank lending market 0 0 1 75 0 0 14 220
A dynamic network model of the unsecured interbank lending market 0 0 3 89 0 2 22 344
Accelerating GARCH and Score-Driven Models: Optimality, Estimation and Forecasting 0 0 0 42 2 3 15 86
Dynamic Factor Models with Clustered Loadings: Forecasting Education Flows using Unemployment Data 0 0 0 19 0 0 14 75
Feasible Invertibility Conditions and Maximum Likelihood Estimation for Observation-Driven Models 0 0 0 15 0 1 11 53
Feasible Invertibility Conditions for Maximum Likelihood Estimation for Observation-Driven Models 0 0 0 2 0 0 15 41
Finite Sample Optimality of Score-Driven Volatility Models 0 0 0 49 0 0 5 58
Forecasting in a changing world: from the great recession to the COVID-19 pandemic 1 1 2 95 3 5 17 152
In-Sample Bounds for Time-Varying Parameters of Observation Driven Models 0 0 0 15 2 2 8 63
In-Sample Confidence Bands and Out-of-Sample Forecast Bands for Time-Varying Parameters in Observation Driven Models 0 0 0 61 1 3 17 81
Information Theoretic Optimality of Observation Driven Time Series Models 0 1 5 52 2 5 24 119
Low Frequency and Weighted Likelihood Solutions for Mixed Frequency Dynamic Factor Models 0 0 0 52 0 0 11 108
Maximum Likelihood Estimation for Score-Driven Models 0 0 1 60 0 0 21 209
Maximum Likelihood Estimation for correctly Specified Generalized Autoregressive Score Models: Feedback Effects, Contraction Conditions and Asymptotic Properties 0 0 0 52 3 4 19 137
Missing Observations in Observation-Driven Time Series Models 0 0 0 46 2 3 12 92
On the Phase Dependence in Time-Varying Correlations Between Time-Series 0 0 0 62 7 7 16 74
Optimal Formulations for Nonlinear Autoregressive Processes 0 0 0 53 4 5 19 123
Penalized Indirect Inference 0 0 0 42 0 0 7 86
Smooth Transition Spatial Autoregressive Models 0 0 0 113 1 5 18 133
Solution-Driven Specification of DSGE Models 0 0 0 82 1 1 4 85
Spillover Dynamics for Systemic Risk Measurement using Spatial Financial Time Series Models 0 0 2 70 5 5 24 141
Spillover dynamics for systemic risk measurement using spatial financial time series models 0 0 2 51 2 3 20 170
Stationarity and Ergodicity Regions for Score Driven Dynamic Correlation Models 0 0 0 7 0 0 12 71
Stationarity and Ergodicity of Univariate Generalized Autoregressive Score Processes 0 0 1 61 0 1 17 151
Tail Heterogeneity for Dynamic Covariance Matrices: the F-Riesz Distribution 0 0 1 35 0 1 11 69
Time Varying Transition Probabilities for Markov Regime Switching Models 1 1 3 133 6 10 43 496
Transformed Polynomials for Nonlinear Autoregressive Models of the Conditional Mean 0 0 0 27 0 1 11 102
Zero-Inflated Autoregressive Conditional Duration Model for Discrete Trade Durations with Excessive Zeros 0 0 0 13 0 0 8 83
Zero-Inflated Autoregressive Conditional Duration Model for Discrete Trade Durations with Excessive Zeros 0 0 0 12 0 1 15 65
Total Working Papers 2 3 23 1,736 46 74 510 4,012
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 2 30 3 4 13 209
A stochastic recurrence equations approach for score driven correlation models 1 1 2 3 2 2 9 23
Accelerating score-driven time series models 0 0 0 23 0 1 15 107
Amendments and Corrections 0 0 0 1 0 0 6 16
In-sample confidence bands and out-of-sample forecast bands for time-varying parameters in observation-driven models 0 1 2 32 20 22 34 133
Information-theoretic optimality of observation-driven time series models for continuous responses 1 1 5 27 1 1 23 87
Missing observations in observation-driven time series models 0 0 0 6 2 3 16 40
Nonlinear autoregressive models with optimality properties 1 1 1 4 1 3 12 28
Penalized indirect inference 0 0 0 7 0 2 12 50
Semiparametric score driven volatility models 0 0 2 28 1 1 14 100
Spillover dynamics for systemic risk measurement using spatial financial time series models 0 0 0 46 1 1 16 190
TRANSFORMED POLYNOMIALS FOR NONLINEAR AUTOREGRESSIVE MODELS OF THE CONDITIONAL MEAN 0 0 0 3 0 1 8 36
Time-Varying Transition Probabilities for Markov Regime Switching Models 0 0 7 21 2 4 46 103
Weighted maximum likelihood for dynamic factor analysis and forecasting with mixed frequency data 0 0 1 34 0 0 14 163
Total Journal Articles 4 5 22 265 33 45 238 1,285

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Statistics updated 2026-09-10