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Transformed polynomials for nonlinear autoregressive models of the conditional mean
Blasques, Francisco - 2012
Persistent link: https://www.econbiz.de/10009724335
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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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Stationarity and ergodicity regions for score driven dynamic correlation models
Blasques, Francisco; Lucas, André; Silde, Erkki - 2013
Persistent link: https://www.econbiz.de/10010191374
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A stochastic recurrence equation approach to stationarity and phi-mixing of a class of nonlinear ARCH models
Blasques, Francisco; Nientker, Marc - 2017
relies on stochastic recurrence equation theory and builds on the work of Bougerol (1993) and Straumann (2005). The … in Markov chain theory, as they require very little from the distribution of the underlying process. Furthermore, they …
Persistent link: https://www.econbiz.de/10011699508
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Transformed perturbation solutions for dynamic stochastic general equilibrium models
Blasques, Francisco; Nientker, Marc - 2019
This paper introduces a new solution method for Dynamic Stochastic General Equilibrium (DSGE) models that produces non explosive paths. The proposed solution method is as fast as standard perturbation methods and can be easily implemented in existing software packages like Dynare as it is...
Persistent link: https://www.econbiz.de/10011979524
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Observation-driven filters for timeseries with stochastic trends and mixed causal non-causal dynamics
Blasques, Francisco; Koopman, Siem Jan; Mingoli, Gabriele - 2023
consistent with financial theory, for a decomposition of the time-series in trend and bubble components, and for meaningful real …
Persistent link: https://www.econbiz.de/10014380706