10
H index
10
i10 index
442
Citations
Vrije Universiteit Amsterdam (50% share) | 10 H index 10 i10 index 442 Citations RESEARCH PRODUCTION: 14 Articles 34 Papers RESEARCH ACTIVITY: 12 years (2012 - 2024). See details. MORE DETAILS IN: ABOUT THIS REPORT: Permalink: http://citec.repec.org/pbl135 |
Works with: 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: | Cites to: |
Journals with more than one article published | # docs |
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Journal of Econometrics | 5 |
Biometrika | 2 |
Econometric Reviews | 2 |
Journal of Time Series Analysis | 2 |
Working Papers Series with more than one paper published | # docs |
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Tinbergen Institute Discussion Papers / Tinbergen Institute | 28 |
Papers / arXiv.org | 2 |
Year | Title of citing document |
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2023 | Dynamic Spatial Autoregressive Models with Autoregressive and Heteroskedastic Disturbances. (2016). Catania, Leopoldo ; Billé, Anna Gloria. In: Papers. RePEc:arx:papers:1602.02542. Full description at Econpapers || Download paper |
2023 | Dynamic Adaptive Mixture Models. (2016). Catania, Leopoldo. In: Papers. RePEc:arx:papers:1603.01308. Full description at Econpapers || Download paper |
2024 | Capturing GDP nowcast uncertainty in real time. (2020). Labonne, Paul. In: Papers. RePEc:arx:papers:2012.02601. Full description at Econpapers || Download paper |
2024 | Option Pricing with Time-Varying Volatility Risk Aversion. (2022). Tong, Chen ; Hansen, Peter Reinhard. In: Papers. RePEc:arx:papers:2204.06943. Full description at Econpapers || Download paper |
2024 | Reservoir 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. Full description at Econpapers || Download paper |
2024 | An Intraday GARCH Model for Discrete Price Changes and Irregularly Spaced Observations. (2022). Hol, Vladim'Ir. In: Papers. RePEc:arx:papers:2211.12376. Full description at Econpapers || Download paper |
2023 | Measuring 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. Full description at Econpapers || Download paper |
2024 | Online 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. Full description at Econpapers || Download paper |
2023 | Quantile Time Series Regression Models Revisited. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2308.06617. Full description at Econpapers || Download paper |
2024 | Statistical Validation of Contagion Centrality in Financial Networks. (2024). Feinstein, Zachary ; Sadeghi, Agathe. In: Papers. RePEc:arx:papers:2404.14337. Full description at Econpapers || Download paper |
2023 | . Full description at Econpapers || Download paper |
2023 | Interbank 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. Full description at Econpapers || Download paper |
2024 | Bayesian State?Space Modeling for Analyzing Heterogeneous Network Effects of US Monetary Policy. (2021). Pfarrhofer, Michael ; Hauzenberger, Niko. In: Scandinavian Journal of Economics. RePEc:bla:scandj:v:123:y:2021:i:4:p:1261-1291. Full description at Econpapers || Download paper |
2023 | Risky news and credit market sentiment. (2023). Thorsrud, Leif Anders ; Labonne, Paul. In: Working Papers. RePEc:bny:wpaper:0125. Full description at Econpapers || Download paper |
2023 | Anticipating 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. Full description at Econpapers || Download paper |
2023 | Global 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. Full description at Econpapers || Download paper |
2023 | Dynamic Mixture Vector Autoregressions with Score-Driven Weights. (2023). Umlandt, Dennis ; Neuenkirch, Matthias ; Gretener, Alexander Georges. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10366. Full description at Econpapers || Download paper |
2023 | Investor 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. Full description at Econpapers || Download paper |
2023 | Intermediaries’ 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. Full description at Econpapers || Download paper |
2023 | Fast 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. Full description at Econpapers || Download paper |
2023 | Are 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. Full description at Econpapers || Download paper |
2023 | Cross-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. Full description at Econpapers || Download paper |
2024 | The 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. Full description at Econpapers || Download paper |
2023 | Cross-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. Full description at Econpapers || Download paper |
2023 | Quasi 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. Full description at Econpapers || Download paper |
2023 | Stochastic 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. Full description at Econpapers || Download paper |
2023 | Two-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. Full description at Econpapers || Download paper |
2023 | Dynamic 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. Full description at Econpapers || Download paper |
2023 | Score-driven models for realized volatility. (2023). Palumbo, Dario ; Harvey, Andrew. In: Journal of Econometrics. RePEc:eee:econom:v:237:y:2023:i:2:s0304407623001422. Full description at Econpapers || Download paper |
2023 | Score-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. Full description at Econpapers || Download paper |
2024 | Maximum 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. Full description at Econpapers || Download paper |
2024 | Autoregressive conditional betas. (2024). Laurent, Sébastien ; Francq, Christian ; Blasques, F. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:2:s0304407623003469. Full description at Econpapers || Download paper |
2024 | Observation-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. Full description at Econpapers || Download paper |
2024 | Modelling 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. Full description at Econpapers || Download paper |
2023 | Networks 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. Full description at Econpapers || Download paper |
2024 | Markov-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. Full description at Econpapers || Download paper |
2023 | Dynamic 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. Full description at Econpapers || Download paper |
2024 | An adaptive long memory conditional correlation model. (2024). Dark, Jonathan. In: Journal of Empirical Finance. RePEc:eee:empfin:v:75:y:2024:i:c:s0927539823001305. Full description at Econpapers || Download paper |
2023 | Score-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. Full description at Econpapers || Download paper |
2023 | INE 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. Full description at Econpapers || Download paper |
2024 | Chinas futures market volatility and sectoral stock market volatility prediction. (2024). Zhong, Juandan ; Zhang, Jixiang ; Zeng, Qing. In: Energy Economics. RePEc:eee:eneeco:v:132:y:2024:i:c:s0140988324001373. Full description at Econpapers || Download paper |
2024 | Assessing resilience to systemic risks across interbank credit networks using linkage-leverage analysis: Evidence from Japan. (2024). Wang, Haibo. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924002722. Full description at Econpapers || Download paper |
2024 | Temporal networks and financial contagion. (2024). Nocciola, Luca ; Vouldis, Angelos ; Franch, Fabio. In: Journal of Financial Stability. RePEc:eee:finsta:v:71:y:2024:i:c:s1572308924000093. Full description at Econpapers || Download paper |
2024 | International 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. Full description at Econpapers || Download paper |
2024 | Asian 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. Full description at Econpapers || Download paper |
2023 | Forecasting 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. Full description at Econpapers || Download paper |
2023 | Time-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. Full description at Econpapers || Download paper |
2023 | Forecasting 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. Full description at Econpapers || Download paper |
2024 | Accelerating 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. Full description at Econpapers || Download paper |
2023 | Covid-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. Full description at Econpapers || Download paper |
2023 | Dynamic 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. Full description at Econpapers || Download paper |
2023 | Bayesian 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. Full description at Econpapers || Download paper |
2023 | Spillover 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. Full description at Econpapers || Download paper |
2023 | The 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. Full description at Econpapers || Download paper |
2023 | Southern 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. Full description at Econpapers || Download paper |
2023 | Commodity 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. Full description at Econpapers || Download paper |
2023 | Modeling extreme events:time-varying extreme tail shape. (2023). Lucas, Andre ; Dinnocenzo, Enzo ; Zhang, Xin ; Schwaab, Bernd. In: Working Paper Series. RePEc:hhs:rbnkwp:0399. Full description at Econpapers || Download paper |
2023 | The 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. Full description at Econpapers || Download paper |
2023 | The 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. Full description at Econpapers || Download paper |
2023 | Dynamic 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. Full description at Econpapers || Download paper |
2024 | An Estimation of Regime Switching Models with Nonlinear Endogenous Switching. (2024). Charoensom, Chotipong. In: PIER Discussion Papers. RePEc:pui:dpaper:217. Full description at Econpapers || Download paper |
2023 | Estimation 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. Full description at Econpapers || Download paper |
2023 | Global 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. Full description at Econpapers || Download paper |
2024 | Robust Observation-Driven Models Using Proximal-Parameter Updates. (2022). van Dijk, Dick ; van Os, Bram ; Lange, Rutger-Jan. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20220066. Full description at Econpapers || Download paper |
2023 | Does 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. Full description at Econpapers || Download paper |
2023 | A 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. Full description at Econpapers || Download paper |
2023 | Information-Theoretic Time-Varying Density Modeling. (2023). van Os, Bram. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20230037. Full description at Econpapers || Download paper |
2023 | Consistency, 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. Full description at Econpapers || Download paper |
2024 | Observation-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. Full description at Econpapers || Download paper |
2023 | Expecting the unexpected: Stressed scenarios for economic growth. (2023). Ruiz, Esther ; Rodriguez-Caballero, Vladimir ; Gonzalez-Rivera, Gloria. In: Working Papers. RePEc:ucr:wpaper:202314. Full description at Econpapers || Download paper |
2023 | Intraday conditional value at risk: A periodic mixed?frequency generalized autoregressive score approach. (2021). Gribisch, Bastian ; Eckernkemper, Tobias. In: Journal of Forecasting. RePEc:wly:jforec:v:40:y:2021:i:5:p:883-910. Full description at Econpapers || Download paper |
2023 | Forecasting 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. Full description at Econpapers || Download paper |
2023 | A 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. Full description at Econpapers || Download paper |
Year | Title | Type | Cited |
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2016 | Feasible Invertibility Conditions for Maximum Likelihood Estimation for Observation-Driven Models In: Papers. [Full Text][Citation analysis] | paper | 8 |
2024 | Zero-Inflated Autoregressive Conditional Duration Model for Discrete Trade Durations with Excessive Zeros In: Papers. [Full Text][Citation analysis] | paper | 1 |
2019 | Zero-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 | |
2015 | A dynamic network model of the unsecured interbank lending market In: BIS Working Papers. [Full Text][Citation analysis] | paper | 50 |
2018 | A 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: 50 | article | |
2016 | A dynamic network model of the unsecured interbank lending market.(2016) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 50 | paper | |
2014 | TRANSFORMED POLYNOMIALS FOR NONLINEAR AUTOREGRESSIVE MODELS OF THE CONDITIONAL MEAN In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 1 |
2012 | Transformed 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 | |
2017 | Time-Varying Transition Probabilities for Markov Regime Switching Models In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 47 |
2014 | Time 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: 47 | paper | |
2016 | Semiparametric score driven volatility models In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 5 |
2016 | Weighted maximum likelihood for dynamic factor analysis and forecasting with mixed frequency data In: Journal of Econometrics. [Full Text][Citation analysis] | article | 21 |
2016 | Spillover dynamics for systemic risk measurement using spatial financial time series models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 75 |
2014 | Spillover 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: 75 | paper | |
2014 | Spillover 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: 75 | paper | |
2018 | Penalized indirect inference In: Journal of Econometrics. [Full Text][Citation analysis] | article | 3 |
2015 | Penalized Indirect Inference.(2015) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | paper | |
2019 | Accelerating score-driven time series models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 8 |
2021 | Missing observations in observation-driven time series models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 2 |
2018 | Missing 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 | |
2016 | In-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] | article | 21 |
2015 | In-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 | |
2016 | Feasible Invertibility Conditions for Maximum Likelihood Estimation for Observation-Driven Models * In: Working Papers. [Full Text][Citation analysis] | paper | 5 |
2015 | Information-theoretic optimality of observation-driven time series models for continuous responses In: Biometrika. [Full Text][Citation analysis] | article | 85 |
2018 | Amendments and Corrections In: Biometrika. [Full Text][Citation analysis] | article | 0 |
2018 | A stochastic recurrence equations approach for score driven correlation models In: Econometric Reviews. [Full Text][Citation analysis] | article | 5 |
2020 | Nonlinear autoregressive models with optimality properties In: Econometric Reviews. [Full Text][Citation analysis] | article | 3 |
2012 | Stationarity and Ergodicity of Univariate Generalized Autoregressive Score Processes In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 8 |
2013 | On the Phase Dependence in Time-Varying Correlations Between Time-Series In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
2013 | Solution-Driven Specification of DSGE Models In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
2013 | Stationarity and Ergodicity Regions for Score Driven Dynamic Correlation Models In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 1 |
2017 | Maximum Likelihood Estimation for Score-Driven Models In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 31 |
2014 | Information Theoretic Optimality of Observation Driven Time Series Models In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 10 |
2014 | Maximum 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] | paper | 8 |
2014 | Optimal Formulations for Nonlinear Autoregressive Processes In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 14 |
2014 | Low Frequency and Weighted Likelihood Solutions for Mixed Frequency Dynamic Factor Models In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
2015 | In-Sample Bounds for Time-Varying Parameters of Observation Driven Models In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
2015 | A Note on “Continuous Invertibility and Stable QML Estimation of the EGARCH(1,1) Model†In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
2016 | Feasible Invertibility Conditions and Maximum Likelihood Estimation for Observation-Driven Models In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 17 |
2017 | Smooth Transition Spatial Autoregressive Models In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
2017 | Accelerating GARCH and Score-Driven Models: Optimality, Estimation and Forecasting In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
2017 | A 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] | paper | 1 |
2017 | Finite Sample Optimality of Score-Driven Volatility Models In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 2 |
2018 | A Time-Varying Parameter Model for Local Explosions In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 4 |
2020 | A New Class of Robust Observation-Driven Models In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 2 |
2021 | Dynamic Factor Models with Clustered Loadings: Forecasting Education Flows using Unemployment Data In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 1 |
2021 | Forecasting in a changing world: from the great recession to the COVID-19 pandemic In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 1 |
2023 | Tail Heterogeneity for Dynamic Covariance Matrices: the F-Riesz Distribution In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 2 |
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