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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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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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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
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Maximum likelihood estimation for non-stationary location models with mixture of normal distributions
Blasques, Francisco; Brummelen, Janneke van; Gorgi, Paolo; … - In: Journal of econometrics 238 (2024) 1, pp. 1-22
Persistent link: https://www.econbiz.de/10015073825
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Time-Varying parameters in econometrics : the editor's foreword
Blasques, Francisco; Harvey, Andrew C.; Koopman, Siem Jan; … - In: Journal of econometrics 237 (2023) 2,2, pp. 1-3
Persistent link: https://www.econbiz.de/10014471515
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Dynamic clustering of multivariate panel data
João, Igor Custodio; Lucas, André; Schaumburg, Julia; … - In: Journal of econometrics 237 (2023) 2,2, pp. 1-18
Persistent link: https://www.econbiz.de/10014471521
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Classical and Bayesian aspects of robust unit root inference
Hoek, Henk; Lucas, Andre; Dijk, Herman K.van - In: Journal of econometrics 69 (1995) 1, pp. 27-60
Persistent link: https://www.econbiz.de/10006797935
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Penalized indirect inference
Blasques, Francisco; Duplinskiy, Artem - In: Journal of econometrics 205 (2018) 1, pp. 34-54
Persistent link: https://www.econbiz.de/10012110237
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Stochastic properties of nonlinear locally-nonstationary filters
Blasques, Francisco; Nientker, Marc - In: Journal of econometrics 235 (2023) 2, pp. 2082-2095
Persistent link: https://www.econbiz.de/10014471445