Search Results - "Blasques, F."
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Quasi score-driven models
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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Autoregressive conditional betas
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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Information-theoretic optimality of observation-driven time series models for continuous responses
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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Time-Varying Parameters in Econometrics: The editor’s foreword
Published in Journal of econometrics (01-12-2023)Get full text
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Missing observations in observation-driven time series models
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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A robust Beveridge–Nelson decomposition using a score-driven approach with an application
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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Accelerating score-driven time series models
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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Weighted maximum likelihood for dynamic factor analysis and forecasting with mixed frequency data
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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Amendments and Corrections: Information-theoretic optimality of observation-driven time series models for continuous responses
Published in Biometrika (01-09-2018)Get full text
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Feasible Invertibility Conditions for Maximum Likelihood Estimation for Observation-Driven Models
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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