| Information-theoretic optimality of observation-driven time series models for continuous responses F Blasques, SJ Koopman, A Lucas Biometrika 102 (2), 325-343, 2015 | 191 | 2015 |
| Spillover dynamics for systemic risk measurement using spatial financial time series models F Blasques, SJ Koopman, A Lucas, J Schaumburg Journal of Econometrics 195 (2), 211-223, 2016 | 162 | 2016 |
| Maximum likelihood estimation for generalized autoregressive score models F Blasques, SJ Koopman, A Lucas Tinbergen Institute Discussion Paper, 2014 | 145* | 2014 |
| Time‐varying transition probabilities for Markov regime switching models M Bazzi, F Blasques, SJ Koopman, A Lucas Journal of Time Series Analysis 38 (3), 458-478, 2017 | 126 | 2017 |
| A dynamic network model of the unsecured interbank lending market F Blasques, F Bräuning, I Van Lelyveld Journal of Economic Dynamics and Control 90, 310-342, 2018 | 106 | 2018 |
| Stationarity and ergodicity of univariate generalized autoregressive score processes F Blasques, SJ Koopman, A Lucas | 89 | 2014 |
| Feasible invertibility conditions and maximum likelihood estimation for observation-driven models F Blasques, P Gorgi, SJ Koopman, O Wintenberger | 83 | 2018 |
| In-sample confidence bands and out-of-sample forecast bands for time-varying parameters in observation-driven models F Blasques, SJ Koopman, K Łasak, A Lucas International Journal of Forecasting 32 (3), 875-887, 2016 | 63 | 2016 |
| Weighted maximum likelihood for dynamic factor analysis and forecasting with mixed frequency data F Blasques, SJ Koopman, M Mallee, Z Zhang Journal of Econometrics 193 (2), 405-417, 2016 | 30 | 2016 |
| Quasi score-driven models F Blasques, C Francq, S Laurent Journal of Econometrics 234 (1), 251-275, 2023 | 21 | 2023 |
| Maximum likelihood estimation for correctly specified generalized autoregressive score models: feedback effects, contraction conditions and asymptotic properties F Blasques, SJ Koopman Tinbergen institute discussion paper, 2014 | 21 | 2014 |
| Finite sample optimality of score-driven volatility models: Some Monte Carlo evidence F Blasques, A Lucas, AC van Vlodrop Econometrics and Statistics 19, 47-57, 2021 | 19 | 2021 |
| Optimal formulations for nonlinear autoregressive processes F Blasques, SJ Koopman, A Lucas Tinbergen Institute Discussion Paper 14-103/III, 2014 | 19 | 2014 |
| Maximum likelihood estimation for score-driven models F Blasques, SJ Koopman, A Lucas Tinbergen Institute Discussion Paper 14-029/III, 2014 | 17 | 2014 |
| Nonlinear autoregressive models with optimality properties F Blasques, SJ Koopman, A Lucas Econometric Reviews 39 (6), 559-578, 2020 | 16 | 2020 |
| Dynamic factor models with clustered loadings: Forecasting education flows using unemployment data F Blasques, MH Hoogerkamp, SJ Koopman, I van de Werve International Journal of Forecasting 37 (4), 1426-1441, 2021 | 15 | 2021 |
| Zero-inflated autoregressive conditional duration model for discrete trade durations with excessive zeros F Blasques, V Holý, P Tomanová Studies in Nonlinear Dynamics & Econometrics, 2023 | 14 | 2023 |
| Accelerating score-driven time series models F Blasques, P Gorgi, SJ Koopman Journal of Econometrics 212 (2), 359-376, 2019 | 14 | 2019 |
| Dynamic spatial autoregressive models with time-varying spatial weighting matrices AG Billé, F Blasques, L Catania Available at SSRN 3241470, 2020 | 13 | 2020 |
| A stochastic recurrence equations approach for score driven correlation models F Blasques, A Lucas, E Silde Econometric Reviews 37 (2), 166-181, 2018 | 11 | 2018 |
Siem Jan KoopmanProfessor of Econometrics, Vrije Universiteit Amsterdam在 vu.nl 的电子邮件经过验证
