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Common and idiosyncratic conditional volatility : theory and empirical evidence from electricity prices
Blasques, Francisco; D'Innocenzo, Enzo; Koopman, Siem Jan - In: Econometric reviews 43 (2024) 8, pp. 638-670
Persistent link: https://www.econbiz.de/10015050635
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Weighted maximum likelihood for dynamic factor analysis and forecasting with mixed frequency data
Blasques, Francisco; Koopman, Siem Jan; Mallee, Max I. P.; … - In: Journal of econometrics 193 (2016) 2, pp. 405-417
Persistent link: https://www.econbiz.de/10011704989
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Spillover dynamics for systemic risk measurement using spatial financial time series models
Blasques, Francisco; Koopman, Siem Jan; Lucas, André; … - In: Journal of econometrics 195 (2016) 2, pp. 211-223
Persistent link: https://www.econbiz.de/10011705251
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In-sample confidence bands and out-of-sample forecast bands for time-varying parameters in observation-driven models
Blasques, Francisco; Koopman, Siem Jan; Łasak, Katarzyna; … - In: International journal of forecasting 32 (2016) 3, pp. 875-887
Persistent link: https://www.econbiz.de/10011621857
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In-sample confidence bands and out-of-sample forecast bands for time-varying parameters : some comments
Forbes, Catherine Scipione - In: International journal of forecasting 32 (2016) 3, pp. 888-890
Persistent link: https://www.econbiz.de/10011621862
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Comments on "In-sample confidence bands and out-of-sample forecast bands for time-varying parameters in observation driven models"
Perron, Pierre; Xu, Jiawen - In: International journal of forecasting 32 (2016) 3, pp. 891-892
Persistent link: https://www.econbiz.de/10011621864
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Rejoinder to the discussion "In-sample confidence bands and out-of-sample forecast bands for time-varying parameters in observation-driven models"
Blasques, Francisco; Koopman, Siem Jan; Łasak, Katarzyna; … - In: International journal of forecasting 32 (2016) 3, pp. 893-894
Persistent link: https://www.econbiz.de/10011621879
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Nonlinear autoregressive models with optimality properties
Blasques, Francisco; Koopman, Siem Jan; Lucas, André - In: Econometric reviews 39 (2020) 6, pp. 559-578
Persistent link: https://www.econbiz.de/10012195421
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A time-varying parameter model for local explosions
Blasques, Francisco; Koopman, Siem Jan; Nientker, Marc - In: Journal of econometrics 227 (2022) 1, pp. 65-84
Persistent link: https://www.econbiz.de/10013441623
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Maximum likelihood estimation for score-driven models
Blasques, Francisco; Brummelen, Janneke van; Koopman, … - In: Journal of econometrics 227 (2022) 2, pp. 325-346
Persistent link: https://www.econbiz.de/10013442028