Francisco A. A. Blasques : Citation Profile

Are you Francisco A. A. Blasques?

Vrije Universiteit Amsterdam (50% share)
Tinbergen Instituut (50% share)

10

H index

10

i10 index

426

Citations

RESEARCH PRODUCTION:

14

Articles

34

Papers

RESEARCH ACTIVITY:

   12 years (2012 - 2024). See details.
   Cites by year: 35
   Journals where Francisco A. A. Blasques has often published
   Relations with other researchers
   Recent citing documents: 70.    Total self citations: 27 (5.96 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pbl135
   Updated: 2024-07-05    RAS profile: 2021-04-08    
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Relations with other researchers

Works with:

Koopman, Siem Jan (5)

Lucas, Andre (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Francisco A. A. Blasques.

Is cited by:

Lucas, Andre (56)

Koopman, Siem Jan (31)

Catania, Leopoldo (19)

Francq, Christian (18)

Zhang, Xin (16)

Laurent, Sébastien (15)

Blazsek, Szabolcs (15)

Escribano, Alvaro (14)

Schwaab, Bernd (14)

darolles, serge (12)

Petrella, Ivan (11)

Cites to:

Koopman, Siem Jan (120)

Lucas, Andre (111)

Creal, Drew (62)

Engle, Robert (47)

Bollerslev, Tim (35)

Schwaab, Bernd (20)

Wintenberger, Olivier (19)

Shephard, Neil (19)

Delle Monache, Davide (17)

Petrella, Ivan (17)

Patton, Andrew (17)

Main data

Where Francisco A. A. Blasques has published?

Journals with more than one article published# docs
Journal of Econometrics5
Biometrika2
Econometric Reviews2
Journal of Time Series Analysis2

Working Papers Series with more than one paper published# docs
Tinbergen Institute Discussion Papers / Tinbergen Institute28
Papers / arXiv.org2

Recent works citing Francisco A. A. Blasques (2024 and 2023)

YearTitle of citing document
2023Dynamic Spatial Autoregressive Models with Autoregressive and Heteroskedastic Disturbances. (2016). Catania, Leopoldo ; Billé, Anna Gloria. In: Papers. RePEc:arx:papers:1602.02542.

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2023Dynamic Adaptive Mixture Models. (2016). Catania, Leopoldo. In: Papers. RePEc:arx:papers:1603.01308.

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2024Capturing GDP nowcast uncertainty in real time. (2020). Labonne, Paul. In: Papers. RePEc:arx:papers:2012.02601.

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2024Reservoir Computing for Macroeconomic Forecasting with Mixed Frequency Data. (2022). Ortega, Juan-Pablo ; van Huellen, Sophie ; Hirt, Marcel ; Grigoryeva, Lyudmila ; Dellaportas, Petros ; Ballarin, Giovanni. In: Papers. RePEc:arx:papers:2211.00363.

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2024An Intraday GARCH Model for Discrete Price Changes and Irregularly Spaced Observations. (2022). Hol, Vladim'Ir. In: Papers. RePEc:arx:papers:2211.12376.

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2023Measuring price impact and information content of trades in a time-varying setting. (2022). Lillo, F ; Bormetti, G ; Campigli, F. In: Papers. RePEc:arx:papers:2212.12687.

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2024Online Learning of Order Flow and Market Impact with Bayesian Change-Point Detection Methods. (2023). Mazzarisi, Piero ; Lillo, Fabrizio ; Tsaknaki, Ioanna-Yvonni. In: Papers. RePEc:arx:papers:2307.02375.

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2023Quantile Time Series Regression Models Revisited. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2308.06617.

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2024Statistical Validation of Contagion Centrality in Financial Networks. (2024). Feinstein, Zachary ; Sadeghi, Agathe. In: Papers. RePEc:arx:papers:2404.14337.

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2023.

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2023Interbank money market concerns and actors’ strategies—A systematic review of 21st century literature. (2023). Dugdale, Julie ; Reaidy, Paul J ; Madies, Philippe ; Alaeddini, Morteza. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:37:y:2023:i:2:p:573-654.

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2023Risky news and credit market sentiment. (2023). Thorsrud, Leif Anders ; Labonne, Paul. In: Working Papers. RePEc:bny:wpaper:0125.

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2023Anticipating extreme losses using score-driven shape filters. (2023). Blazsek, Szabolcs ; Alvaro, Escribano ; Szabolcs, Blazsek ; Astrid, Ayala. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:27:y:2023:i:4:p:449-484:n:1.

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2023Global money supply and energy and non-energy commodity prices: A MS-TV-VAR approach. (2023). Vespignani, Joaquin ; Vocalelli, Giorgio ; Ravazzolo, Francesco ; Grassi, Stefano. In: BEMPS - Bozen Economics & Management Paper Series. RePEc:bzn:wpaper:bemps100.

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2023Dynamic Mixture Vector Autoregressions with Score-Driven Weights. (2023). Umlandt, Dennis ; Neuenkirch, Matthias ; Gretener, Alexander Georges. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10366.

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2023Investor sentiment in the tourism stock market. (2023). Kou, Iokteng Esther ; Wu, Chih-Hung ; Peng, Kang-Lin. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:37:y:2023:i:c:s2214635022000624.

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2023Intermediaries’ substitutability and financial network resilience: A hyperstructure approach. (2023). Ugolini, Stefano ; Lucena-Piquero, Delio ; Accominotti, Olivier. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:153:y:2023:i:c:s0165188923001069.

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2023Fast estimation of a large TVP-VAR model with score-driven volatilities. (2023). Hong, Yongmiao ; Ye, Shiqi ; Zheng, Tingguo. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:157:y:2023:i:c:s0165188923001689.

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2023Are low frequency macroeconomic variables important for high frequency electricity prices?. (2023). Rossini, Luca ; Ravazzolo, Francesco ; Foroni, Claudia. In: Economic Modelling. RePEc:eee:ecmode:v:120:y:2023:i:c:s0264999322003972.

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2023Cross-border Italian sovereign risk transmission in EMU countries. (2023). Napolitano, Oreste ; Fiorelli, Cristiana ; D'Uva, Marcella ; Capasso, Salvatore. In: Economic Modelling. RePEc:eee:ecmode:v:126:y:2023:i:c:s0264999323002365.

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2024The determinants of systemic risk contagion. (2024). Erden, Lutfi ; Ozkan, Brahim ; Atasoy, Burak Sencer. In: Economic Modelling. RePEc:eee:ecmode:v:130:y:2024:i:c:s026499932300408x.

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2023Cross-industry asset allocation with the spatial interaction on multiple risk transmission channels. (2023). Jin, Xiu ; Chen, NA. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:67:y:2023:i:c:s106294082300058x.

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2023Quasi score-driven models. (2023). Laurent, Sebastien ; Francq, Christian ; Blasques, F. In: Journal of Econometrics. RePEc:eee:econom:v:234:y:2023:i:1:p:251-275.

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2023Stochastic properties of nonlinear locally-nonstationary filters. (2023). Nientker, Marc ; Blasques, Francisco. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:2082-2095.

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2023Two-stage weighted least squares estimator of the conditional mean of observation-driven time series models. (2023). Francq, Christian ; Aknouche, Abdelhakim. In: Journal of Econometrics. RePEc:eee:econom:v:237:y:2023:i:2:s030440762100213x.

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2023Dynamic clustering of multivariate panel data. (2023). Lucas, Andre ; Joo, Igor Custodio ; Schwaab, Bernd ; Schaumburg, Julia. In: Journal of Econometrics. RePEc:eee:econom:v:237:y:2023:i:2:s0304407622000689.

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2023Score-driven models for realized volatility. (2023). Palumbo, Dario ; Harvey, Andrew. In: Journal of Econometrics. RePEc:eee:econom:v:237:y:2023:i:2:s0304407623001422.

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2023Score-driven asset pricing: Predicting time-varying risk premia based on cross-sectional model performance. (2023). Umlandt, Dennis. In: Journal of Econometrics. RePEc:eee:econom:v:237:y:2023:i:2:s0304407623001641.

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2024Maximum Likelihood Estimation for Non-Stationary Location Models with Mixture of Normal Distributions. (2024). van Brummelen, Janneke ; Koopman, Siem Jan ; Blasques, Francisco ; Gorgi, Paolo. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:1:s0304407623002919.

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2024Autoregressive conditional betas. (2024). Laurent, Sébastien ; Francq, Christian ; Blasques, F. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:2:s0304407623003469.

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2024Observation-driven filtering of time-varying parameters using moment conditions. (2024). Lucas, Andre ; Koopman, Siem Jan ; Creal, Drew ; Zamojski, Marcin. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:2:s0304407623003512.

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2024Modelling circular time series. (2024). Palumbo, Dario ; Hurn, Stan ; Harvey, Andrew ; Thiele, Stephen. In: Journal of Econometrics. RePEc:eee:econom:v:239:y:2024:i:1:s0304407623001446.

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2023Networks in risk spillovers: A multivariate GARCH perspective. (2023). Caporin, Massimiliano ; Pelizzon, Loriana ; Frattarolo, Lorenzo ; Billio, Monica. In: Econometrics and Statistics. RePEc:eee:ecosta:v:28:y:2023:i:c:p:1-29.

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2024Markov-Switching Models with State-Dependent Time-Varying Transition Probabilities. (2024). Sola, Martin ; Psaradakis, Zacharias. In: Econometrics and Statistics. RePEc:eee:ecosta:v:29:y:2024:i:c:p:49-63.

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2023Dynamic relationship between Stock and Bond returns: A GAS MIDAS copula approach. (2023). Javed, Farrukh ; Nguyen, Hoang. In: Journal of Empirical Finance. RePEc:eee:empfin:v:73:y:2023:i:c:p:272-292.

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2024An adaptive long memory conditional correlation model. (2024). Dark, Jonathan. In: Journal of Empirical Finance. RePEc:eee:empfin:v:75:y:2024:i:c:s0927539823001305.

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2023Score-driven threshold ice-age models: Benchmark models for long-run climate forecasts. (2023). Escribano, Alvaro ; Blazsek, Szabolcs. In: Energy Economics. RePEc:eee:eneeco:v:118:y:2023:i:c:s0140988323000208.

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2023INE oil futures volatility prediction: Exchange rates or international oil futures volatility?. (2023). Li, Haibo ; Ma, Feng ; Lu, Xinjie ; Wang, Jianqiong. In: Energy Economics. RePEc:eee:eneeco:v:126:y:2023:i:c:s0140988323004334.

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2024International stock market volatility: A global tail risk sight. (2024). Zhu, BO ; Zhong, Juandan ; Zeng, Qing ; Lu, Xinjie. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:91:y:2024:i:c:s1042443123001725.

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2024Asian stock market volatility and economic policy uncertainty: The role of world and regional leaders. (2024). Keddad, Benjamin. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:91:y:2024:i:c:s1042443123001968.

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2023Forecasting extreme financial risk: A score-driven approach. (2023). Herrera, Rodrigo ; Clements, Adam ; Fuentes, Fernanda. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:2:p:720-735.

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2023Time-varying variance and skewness in realized volatility measures. (2023). Lucas, Andre ; Opschoor, Anne. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:2:p:827-840.

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2023Forecasting short-term defaults of firms in a commercial network via Bayesian spatial and spatio-temporal methods. (2023). Montagna, Silvia ; Argiento, Raffaele ; Berloco, Claudia. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:3:p:1065-1077.

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2024Accelerating peak dating in a dynamic factor Markov-switching model. (2024). van Dijk, Dick ; van Os, Bram. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:1:p:313-323.

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2023Covid-19, credit risk management modeling, and government support. (2023). Telg, Sean ; Lucas, Andre ; Dubinova, Anna. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:147:y:2023:i:c:s0378426622002187.

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2023Dynamic spillover effects among international crude oil markets from the time-frequency perspective. (2023). Zhang, Xiaoming ; Xu, Chao ; Zhou, Hegang ; Lee, Chien-Chiang. In: Resources Policy. RePEc:eee:jrpoli:v:80:y:2023:i:c:s0301420722006614.

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2023Bayesian predictive distributions of oil returns using mixed data sampling volatility models. (2023). Virbickaite, Audrone ; Nguyen, Hoang ; Tran, Minh-Ngoc. In: Resources Policy. RePEc:eee:jrpoli:v:86:y:2023:i:pa:s0301420723008784.

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2023Spillover effects between internet financial industry and traditional financial industry: Evidence from the Chinese stock market. (2023). Cheng, Lee-Young ; Wang, Shengjin ; Yang, Yuhong ; Li, Ruihai ; Shen, Anran ; Zheng, Yingfei. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:79:y:2023:i:c:s0927538x23000379.

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2023The impact of network connectivity on factor exposures, asset pricing, and portfolio diversification. (2023). Caporin, Massimiliano ; Pelizzon, Loriana ; Panzica, Roberto ; Billio, Monica. In: International Review of Economics & Finance. RePEc:eee:reveco:v:84:y:2023:i:c:p:196-223.

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2023Southern oscillation: Great value of its trends for forecasting crude oil spot price volatility. (2023). Wang, LU ; Su, Yuquan ; Yu, Jize ; Hong, Yanran. In: International Review of Economics & Finance. RePEc:eee:reveco:v:84:y:2023:i:c:p:358-368.

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2023Commodity Pricing Volatility Shifts in a Highly Turbulent Time Period. A Time-varying Transition Probability Markov Switching Analysis. (2023). Cifarelli, Giulio. In: Working Papers - Economics. RePEc:frz:wpaper:wp2023_11.rdf.

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2023Modeling extreme events:time-varying extreme tail shape. (2023). Lucas, Andre ; Dinnocenzo, Enzo ; Zhang, Xin ; Schwaab, Bernd. In: Working Paper Series. RePEc:hhs:rbnkwp:0399.

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2023The Impact of News Related Covid-19 on Exchange Rate Volatility:A New Evidence From Generalized Autoregressive Score Model. (2023). Erer, Deniz. In: EKOIST Journal of Econometrics and Statistics. RePEc:ist:ekoist:v:0:y:2023:i:38:p:105-126.

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2023The two-component Beta-t-QVAR-M-lev: a new forecasting model. (2023). Blazsek, Szabolcs ; Cardia, Michel Ferreira ; Sheng, Hsia Hua ; Fuerst, Franz ; Arestis, Philip. In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:37:y:2023:i:4:d:10.1007_s11408-023-00431-4.

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2023Dynamic dependencies and return connectedness among stock, gold and Bitcoin markets: Evidence from South Asia and China. (2023). Ahmed, Abdullahi D ; Lu, Ran ; Zeng, Hongjun. In: Equilibrium. Quarterly Journal of Economics and Economic Policy. RePEc:pes:ierequ:v:18:y:2023:i:1:p:49-87.

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2024An Estimation of Regime Switching Models with Nonlinear Endogenous Switching. (2024). Charoensom, Chotipong. In: PIER Discussion Papers. RePEc:pui:dpaper:217.

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2023Estimation of final standings in football competitions with a premature ending: the case of COVID-19. (2023). Koopman, Siem Jan ; Lit, R ; Gorgi, P. In: AStA Advances in Statistical Analysis. RePEc:spr:alstar:v:107:y:2023:i:1:d:10.1007_s10182-021-00415-7.

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2023Global money supply and energy and non-energy commodity prices: A MS-TV-VAR approach. (2023). Vespignani, Joaquin ; Vocalelli, Giorgio ; Ravazzolo, Francesco ; Grassi, Stefano. In: Working Papers. RePEc:tas:wpaper:47658.

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2023Does trade integration imply growth in Latin America? Evidence from a dynamic spatial spillover model. (2023). Sampi, James ; Koopman, S J ; Gorgi, P ; Blasques, F. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20230007.

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2023A Multilevel Factor Model for Economic Activity with Observation Driven Dynamic Factors. (2023). Koopman, Siem Jan ; Blasques, Francisco ; Artemova, Mariia. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20230021.

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2023Information-Theoretic Time-Varying Density Modeling. (2023). van Os, Bram. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20230037.

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2023Consistency, distributional convergence, and optimality of score-driven filters. (2023). Lucas, Andre ; Lin, Yicong ; Beutner, Eric A. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20230051.

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2023Observation-Driven filters for Time-Series with Stochastic Trends and Mixed Causal Non-Causal Dynamics. (2023). Koopman, Siem Jan ; Mingoli, Gabriele ; Blasques, Francisco. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20230065.

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2023Forecasting inflation time series using score?driven dynamic models and combination methods: The case of Brazil. (2023). Lucena, Fernando Antonio ; Dias, Carlos Henrique. In: Journal of Forecasting. RePEc:wly:jforec:v:42:y:2023:i:2:p:369-401.

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2023A new model for forecasting VaR and ES using intraday returns aggregation. (2023). Li, Handong ; Song, Shijia. In: Journal of Forecasting. RePEc:wly:jforec:v:42:y:2023:i:5:p:1039-1054.

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2023.

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Works by Francisco A. A. Blasques:

YearTitleTypeCited
2016Feasible Invertibility Conditions for Maximum Likelihood Estimation for Observation-Driven Models In: Papers.
[Full Text][Citation analysis]		paper8
2024Zero-Inflated Autoregressive Conditional Duration Model for Discrete Trade Durations with Excessive Zeros In: Papers.
[Full Text][Citation analysis]		paper1
2019Zero-Inflated Autoregressive Conditional Duration Model for Discrete Trade Durations with Excessive Zeros.(2019) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		paper
2015A dynamic network model of the unsecured interbank lending market In: BIS Working Papers.
[Full Text][Citation analysis]		paper49
2018A dynamic network model of the unsecured interbank lending market.(2018) In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 49		article
2016A dynamic network model of the unsecured interbank lending market.(2016) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 49		paper
2014TRANSFORMED POLYNOMIALS FOR NONLINEAR AUTOREGRESSIVE MODELS OF THE CONDITIONAL MEAN In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article1
2012Transformed Polynomials for Nonlinear Autoregressive Models of the Conditional Mean.(2012) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		paper
2017Time-Varying Transition Probabilities for Markov Regime Switching Models In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article45
2014Time Varying Transition Probabilities for Markov Regime Switching Models.(2014) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 45		paper
2016Semiparametric score driven volatility models In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article5
2016Weighted maximum likelihood for dynamic factor analysis and forecasting with mixed frequency data In: Journal of Econometrics.
[Full Text][Citation analysis]		article20
2016Spillover dynamics for systemic risk measurement using spatial financial time series models In: Journal of Econometrics.
[Full Text][Citation analysis]		article72
2014Spillover Dynamics for Systemic Risk Measurement using Spatial Financial Time Series Models.(2014) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 72		paper
2014Spillover dynamics for systemic risk measurement using spatial financial time series models.(2014) In: VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 72		paper
2018Penalized indirect inference In: Journal of Econometrics.
[Full Text][Citation analysis]		article3
2015Penalized Indirect Inference.(2015) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 3		paper
2019Accelerating score-driven time series models In: Journal of Econometrics.
[Full Text][Citation analysis]		article6
2021Missing observations in observation-driven time series models In: Journal of Econometrics.
[Full Text][Citation analysis]		article2
2018Missing Observations in Observation-Driven Time Series Models.(2018) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		paper
2016In-sample confidence bands and out-of-sample forecast bands for time-varying parameters in observation-driven models In: International Journal of Forecasting.
[Full Text][Citation analysis]		article21
2015In-Sample Confidence Bands and Out-of-Sample Forecast Bands for Time-Varying Parameters in Observation Driven Models.(2015) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 21		paper
2016Feasible Invertibility Conditions for Maximum Likelihood Estimation for Observation-Driven Models * In: Working Papers.
[Full Text][Citation analysis]		paper5
2015Information-theoretic optimality of observation-driven time series models for continuous responses In: Biometrika.
[Full Text][Citation analysis]		article82
2018Amendments and Corrections In: Biometrika.
[Full Text][Citation analysis]		article0
2018A stochastic recurrence equations approach for score driven correlation models In: Econometric Reviews.
[Full Text][Citation analysis]		article5
2020Nonlinear autoregressive models with optimality properties In: Econometric Reviews.
[Full Text][Citation analysis]		article2
2012Stationarity and Ergodicity of Univariate Generalized Autoregressive Score Processes In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]		paper8
2013On the Phase Dependence in Time-Varying Correlations Between Time-Series In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]		paper0
2013Solution-Driven Specification of DSGE Models In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]		paper0
2013Stationarity and Ergodicity Regions for Score Driven Dynamic Correlation Models In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]		paper1
2017Maximum Likelihood Estimation for Score-Driven Models In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]		paper30
2014Information Theoretic Optimality of Observation Driven Time Series Models In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]		paper10
2014Maximum Likelihood Estimation for correctly Specified Generalized Autoregressive Score Models: Feedback Effects, Contraction Conditions and Asymptotic Properties In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]		paper8
2014Optimal Formulations for Nonlinear Autoregressive Processes In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]		paper14
2014Low Frequency and Weighted Likelihood Solutions for Mixed Frequency Dynamic Factor Models In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]		paper0
2015In-Sample Bounds for Time-Varying Parameters of Observation Driven Models In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]		paper0
2015A Note on “Continuous Invertibility and Stable QML Estimation of the EGARCH(1,1) Model” In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]		paper0
2016Feasible Invertibility Conditions and Maximum Likelihood Estimation for Observation-Driven Models In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]		paper17
2017Smooth Transition Spatial Autoregressive Models In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]		paper0
2017Accelerating GARCH and Score-Driven Models: Optimality, Estimation and Forecasting In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]		paper0
2017A Stochastic Recurrence Equation Approach to Stationarity and phi-Mixing of a Class of Nonlinear ARCH Models In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]		paper1
2017Finite Sample Optimality of Score-Driven Volatility Models In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]		paper2
2018A Time-Varying Parameter Model for Local Explosions In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]		paper4
2020A New Class of Robust Observation-Driven Models In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]		paper2
2021Dynamic Factor Models with Clustered Loadings: Forecasting Education Flows using Unemployment Data In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]		paper1
2021Forecasting in a changing world: from the great recession to the COVID-19 pandemic In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]		paper0
2023Tail Heterogeneity for Dynamic Covariance Matrices: the F-Riesz Distribution In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]		paper1

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