Francisco Blasques

Available identifiers

zbMath Open blasques.franciscoMaRDI QIDQ337772

List of research outcomes

Publication	Date of Publication	Type
A robust Beveridge-Nelson decomposition using a score-driven approach with an application	2024-05-07	Paper
Maximum likelihood estimation for non-stationary location models with mixture of normal distributions	2024-02-13	Paper
Autoregressive conditional betas	2024-02-13	Paper
Stochastic properties of nonlinear locally-nonstationary filters	2023-06-29	Paper
Quasi score-driven models	2023-04-14	Paper
Maximum likelihood estimation for score-driven models	2022-03-16	Paper
A time-varying parameter model for local explosions	2022-03-16	Paper
Nonlinear autoregressive models with optimality properties	2022-03-04	Paper
A stochastic recurrence equations approach for score driven correlation models	2022-02-24	Paper
Missing observations in observation-driven time series models	2021-03-24	Paper
Accelerating score-driven time series models	2019-10-23	Paper
Amendments and Corrections	2018-12-10	Paper
Semiparametric score driven volatility models	2018-08-15	Paper
A dynamic network model of the unsecured interbank lending market	2018-08-13	Paper
Penalized indirect inference	2018-05-31	Paper
Feasible invertibility conditions and maximum likelihood estimation for observation-driven models	2018-04-25	Paper
Time‐Varying Transition Probabilities for Markov Regime Switching Models	2017-05-26	Paper
Spillover dynamics for systemic risk measurement using spatial financial time series models	2016-11-03	Paper
Weighted maximum likelihood for dynamic factor analysis and forecasting with mixed frequency data	2016-07-12	Paper
Information-theoretic optimality of observation-driven time series models for continuous responses	2015-06-26	Paper
TRANSFORMED POLYNOMIALS FOR NONLINEAR AUTOREGRESSIVE MODELS OF THE CONDITIONAL MEAN	2014-12-17	Paper
Stationarity and ergodicity of univariate generalized autoregressive score processes	2014-09-05	Paper

Research outcomes over time

This page was built for person: Francisco Blasques