Search Results - "Blasques, F."

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  1. 1

    Quasi score-driven models by Blasques, F., Francq, Christian, Laurent, Sébastien

    Published in Journal of econometrics (01-05-2023)
    “…This paper introduces the class of quasi score-driven (QSD) models. This new class inherits and extends the basic ideas behind the development of score-driven…”
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    Journal Article
  2. 2

    Autoregressive conditional betas by Blasques, F., Francq, Christian, Laurent, Sébastien

    Published in Journal of econometrics (01-01-2024)
    “…This paper introduces an autoregressive conditional beta (ACB) model that allows regressions with dynamic betas (or slope coefficients) and residuals with…”
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    Journal Article
  3. 3

    Information-theoretic optimality of observation-driven time series models for continuous responses by BLASQUES, F., KOOPMAN, S. J., LUCAS, A.

    Published in Biometrika (01-06-2015)
    “…We investigate information-theoretic optimality properties of the score function of the predictive likelihood as a device for updating a real-valued…”
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  4. 4
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    Missing observations in observation-driven time series models by Blasques, F., Gorgi, P., Koopman, S.J.

    Published in Journal of econometrics (01-04-2021)
    “…We argue that existing methods for the treatment of missing observations in time-varying parameter observation-driven models lead to inconsistent inference. We…”
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  6. 6

    A robust Beveridge–Nelson decomposition using a score-driven approach with an application by Blasques, F., van Brummelen, J., Gorgi, P., Koopman, S.J.

    Published in Economics letters (01-03-2024)
    “…The equivalence of the Beveridge–Nelson decomposition and the trend-cycle decomposition is well established. In this paper we argue that this equivalence is…”
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  7. 7

    Accelerating score-driven time series models by Blasques, F., Gorgi, P., Koopman, S.J.

    Published in Journal of econometrics (01-10-2019)
    “…We propose a new class of score-driven time series models that allows for a more flexible weighting of score innovations for the filtering of time varying…”
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  8. 8

    Weighted maximum likelihood for dynamic factor analysis and forecasting with mixed frequency data by Blasques, F., Koopman, S.J., Mallee, M., Zhang, Z.

    Published in Journal of econometrics (01-08-2016)
    “…For the purpose of forecasting key macroeconomic or financial variables from a panel of time series variables, we adopt the dynamic factor model and propose a…”
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    Feasible Invertibility Conditions for Maximum Likelihood Estimation for Observation-Driven Models by Blasques, F, Gorgi, P, Koopman, S, Wintenberger, O

    Published 10-10-2016
    “…Invertibility conditions for observation-driven time series models often fail to be guaranteed in empirical applications. As a result, the asymptotic theory of…”
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