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A time-varying parameter model for local explosions
Blasques, Francisco; Koopman, Siem Jan; Nientker, Marc - 2018
Locally explosive behavior is observed in many economic and financial time series when bubbles are formed. We introduce … be used to predict the emergence, existence and burst of bubbles. We adopt a flexible observation driven model …
Persistent link: https://www.econbiz.de/10011928329
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Information theoretic optimality of observation driven time series models
Blasques, Francisco; Koopman, Siem Jan; Lucas, André - 2014
We investigate the information theoretic optimality properties of the score function of the predictive likelihood as a device to update parameters in observation driven time-varying parameter models. The results provide a new theoretical justification for the class of generalized autoregressive...
Persistent link: https://www.econbiz.de/10010340740
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Maximum likelihood estimation for correctly specified generalized autoregressive score models : feedback effects, contraction conditions and asymptotic properties
Blasques, Francisco; Koopman, Siem Jan; Lucas, André - 2014
The strong consistency and asymptotic normality of the maximum likelihood estimator in observation-driven models usually requires the study of the model both as a filter for the time-varying parameter and as a data generating process (DGP) for observed data. The probabilistic properties of the...
Persistent link: https://www.econbiz.de/10010364739
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Maximum likelihood estimation for generalized autoregressive score models
Blasques, Francisco; Koopman, Siem Jan; Lucas, André - 2014
We study the strong consistency and asymptotic normality of the maximum likelihood estimator for a class of time series models driven by the score function of the predictive likelihood. This class of nonlinear dynamic models includes both new and existing observation driven time series models....
Persistent link: https://www.econbiz.de/10010250505
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A novel test for the presence of local explosive dynamics
Blasques, Francisco; Koopman, Siem Jan; Mingoli, Gabriele; … - 2024
In economics and finance, speculative bubbles take the form of locally explosive dynamics that eventually collapse. We … propose a test for the presence of speculative bubbles in the context of mixed causal-noncausal autoregressive processes. The … test exploits the fact that bubbles are anticipative, that is, they are generated by an extreme shock in the forwardlooking …
Persistent link: https://www.econbiz.de/10014536201
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Zero-inflated autoregressive conditional duration model for discrete trade durations with excessive zeros
Blasques, Francisco; Holý, Vladimír; Tomanová, Petra - 2019
In finance, durations between successive transactions are usually modelled by the autoregressive conditional duration model based on a continuous distribution omitting frequent zero values. Zero durations can be caused by either split transactions or independent transactions. We propose a...
Persistent link: https://www.econbiz.de/10011954223
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In-sample bounds for time-varying parameters of observation driven models
Blasques, Francisco; Koopman, Siem Jan; Łasak, Katarzyna; … - 2015
We study the performance of two analytical methods and one simulation method for computing in-sample confidence bounds for time-varying parameters. These in-sample bounds are designed to reflect parameter uncertainty in the associated filter. They are applicable to the complete class of...
Persistent link: https://www.econbiz.de/10010484891
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Stationarity and ergodicity of univariate generalized autoregressive score processes
Blasques, Francisco; Koopman, Siem Jan; Lucas, André - 2012
Persistent link: https://www.econbiz.de/10009722625
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Optimal formulations for nonlinear autoregressive processes
Blasques, Francisco; Koopman, Siem Jan; Lucas, André - 2014
We develop optimal formulations for nonlinear autoregressive models by representing them as linear autoregressive models with time-varying temporal dependence coefficients. We propose a parameter updating scheme based on the score of the predictive likelihood function at each time point. The...
Persistent link: https://www.econbiz.de/10010390075
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Maximum likelihood estimation for non-stationary location models with mixture of normal distributions
Blasques, Francisco; Brummelen, Janneke van; Gorgi, Paolo; … - 2022
We consider an observation-driven location model where the unobserved location variable is modeled as a random walk process and where the error variable is from a mixture of normal distributions. The mixed normal distribution can approximate many continuous error distributions accurately. We...
Persistent link: https://www.econbiz.de/10012795401