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Details about Francisco A. A. Blasques

E-mail:
Homepage:http://personal.vu.nl/f.blasques/index.html
Postal address:FEWEB/FIN, office 1A-31 VU University Amsterdam De Boelelaan 1105 NL-1081HV Amsterdam
Workplace:School of Business and Economics, Vrije Universiteit Amsterdam (VU University Amsterdam), (more information at EDIRC)
Tinbergen Instituut (Tinbergen Institute), (more information at EDIRC)

Access statistics for papers by Francisco A. A. Blasques.

Last updated 2021-04-08. Update your information in the RePEc Author Service.

Short-id: pbl135


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Working Papers

2024

  1. Zero-Inflated Autoregressive Conditional Duration Model for Discrete Trade Durations with Excessive Zeros
    Papers, arXiv.org Downloads View citations (1)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2019) Downloads

2023

  1. Tail Heterogeneity for Dynamic Covariance Matrices: the F-Riesz Distribution
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (2)

2021

  1. Dynamic Factor Models with Clustered Loadings: Forecasting Education Flows using Unemployment Data
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (1)
  2. Forecasting in a changing world: from the great recession to the COVID-19 pandemic
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (1)

2020

  1. A New Class of Robust Observation-Driven Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (2)

2018

  1. A Time-Varying Parameter Model for Local Explosions
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (1)
  2. Missing Observations in Observation-Driven Time Series Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (2)
    See also Journal Article Missing observations in observation-driven time series models, Journal of Econometrics, Elsevier (2021) Downloads View citations (1) (2021)

2017

  1. A Stochastic Recurrence Equation Approach to Stationarity and phi-Mixing of a Class of Nonlinear ARCH Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (2)
  2. Accelerating GARCH and Score-Driven Models: Optimality, Estimation and Forecasting
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
  3. Finite Sample Optimality of Score-Driven Volatility Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (2)
  4. Maximum Likelihood Estimation for Score-Driven Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (27)
  5. Smooth Transition Spatial Autoregressive Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (2)

2016

  1. A dynamic network model of the unsecured interbank lending market
    Working Papers, Federal Reserve Bank of Boston Downloads View citations (3)
    Also in BIS Working Papers, Bank for International Settlements (2015) Downloads View citations (28)

    See also Journal Article A dynamic network model of the unsecured interbank lending market, Journal of Economic Dynamics and Control, Elsevier (2018) Downloads View citations (19) (2018)
  2. Feasible Invertibility Conditions and Maximum Likelihood Estimation for Observation-Driven Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (18)
  3. Feasible Invertibility Conditions for Maximum Likelihood Estimation for Observation-Driven Models
    Papers, arXiv.org Downloads View citations (7)

2015

  1. A Note on “Continuous Invertibility and Stable QML Estimation of the EGARCH(1,1) Model”
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (3)
  2. In-Sample Bounds for Time-Varying Parameters of Observation Driven Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
  3. In-Sample Confidence Bands and Out-of-Sample Forecast Bands for Time-Varying Parameters in Observation Driven Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (2)
    See also Journal Article In-sample confidence bands and out-of-sample forecast bands for time-varying parameters in observation-driven models, International Journal of Forecasting, Elsevier (2016) Downloads View citations (19) (2016)
  4. Penalized Indirect Inference
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
    See also Journal Article Penalized indirect inference, Journal of Econometrics, Elsevier (2018) Downloads View citations (4) (2018)

2014

  1. Information Theoretic Optimality of Observation Driven Time Series Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (14)
  2. Low Frequency and Weighted Likelihood Solutions for Mixed Frequency Dynamic Factor Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
  3. Maximum Likelihood Estimation for correctly Specified Generalized Autoregressive Score Models: Feedback Effects, Contraction Conditions and Asymptotic Properties
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (9)
  4. Optimal Formulations for Nonlinear Autoregressive Processes
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (14)
  5. Spillover Dynamics for Systemic Risk Measurement using Spatial Financial Time Series Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (16)
    Also in VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy, Verein für Socialpolitik / German Economic Association (2014) Downloads View citations (7)

    See also Journal Article Spillover dynamics for systemic risk measurement using spatial financial time series models, Journal of Econometrics, Elsevier (2016) Downloads View citations (71) (2016)
  6. Time Varying Transition Probabilities for Markov Regime Switching Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (13)
    See also Journal Article Time-Varying Transition Probabilities for Markov Regime Switching Models, Journal of Time Series Analysis, Wiley Blackwell (2017) Downloads View citations (36) (2017)

2013

  1. On the Phase Dependence in Time-Varying Correlations Between Time-Series
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
  2. Solution-Driven Specification of DSGE Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
  3. Stationarity and Ergodicity Regions for Score Driven Dynamic Correlation Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (1)

2012

  1. Stationarity and Ergodicity of Univariate Generalized Autoregressive Score Processes
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (14)
  2. Transformed Polynomials for Nonlinear Autoregressive Models of the Conditional Mean
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
    See also Journal Article TRANSFORMED POLYNOMIALS FOR NONLINEAR AUTOREGRESSIVE MODELS OF THE CONDITIONAL MEAN, Journal of Time Series Analysis, Wiley Blackwell (2014) Downloads View citations (1) (2014)

Journal Articles

2021

  1. Missing observations in observation-driven time series models
    Journal of Econometrics, 2021, 221, (2), 542-568 Downloads View citations (1)
    See also Working Paper Missing Observations in Observation-Driven Time Series Models, Tinbergen Institute Discussion Papers (2018) Downloads View citations (2) (2018)

2020

  1. Nonlinear autoregressive models with optimality properties
    Econometric Reviews, 2020, 39, (6), 559-578 Downloads View citations (3)

2019

  1. Accelerating score-driven time series models
    Journal of Econometrics, 2019, 212, (2), 359-376 Downloads View citations (8)

2018

  1. A dynamic network model of the unsecured interbank lending market
    Journal of Economic Dynamics and Control, 2018, 90, (C), 310-342 Downloads View citations (19)
    See also Working Paper A dynamic network model of the unsecured interbank lending market, Working Papers (2016) Downloads View citations (3) (2016)
  2. A stochastic recurrence equations approach for score driven correlation models
    Econometric Reviews, 2018, 37, (2), 166-181 Downloads View citations (6)
  3. Amendments and Corrections
    Biometrika, 2018, 105, (3), 753-753 Downloads
  4. Penalized indirect inference
    Journal of Econometrics, 2018, 205, (1), 34-54 Downloads View citations (4)
    See also Working Paper Penalized Indirect Inference, Tinbergen Institute Discussion Papers (2015) Downloads (2015)

2017

  1. Time-Varying Transition Probabilities for Markov Regime Switching Models
    Journal of Time Series Analysis, 2017, 38, (3), 458-478 Downloads View citations (36)
    See also Working Paper Time Varying Transition Probabilities for Markov Regime Switching Models, Tinbergen Institute Discussion Papers (2014) Downloads View citations (13) (2014)

2016

  1. In-sample confidence bands and out-of-sample forecast bands for time-varying parameters in observation-driven models
    International Journal of Forecasting, 2016, 32, (3), 875-887 Downloads View citations (19)
    See also Working Paper In-Sample Confidence Bands and Out-of-Sample Forecast Bands for Time-Varying Parameters in Observation Driven Models, Tinbergen Institute Discussion Papers (2015) Downloads View citations (2) (2015)
  2. Semiparametric score driven volatility models
    Computational Statistics & Data Analysis, 2016, 100, (C), 58-69 Downloads View citations (5)
  3. Spillover dynamics for systemic risk measurement using spatial financial time series models
    Journal of Econometrics, 2016, 195, (2), 211-223 Downloads View citations (71)
    See also Working Paper Spillover Dynamics for Systemic Risk Measurement using Spatial Financial Time Series Models, Tinbergen Institute Discussion Papers (2014) Downloads View citations (16) (2014)
  4. Weighted maximum likelihood for dynamic factor analysis and forecasting with mixed frequency data
    Journal of Econometrics, 2016, 193, (2), 405-417 Downloads View citations (23)

2015

  1. Information-theoretic optimality of observation-driven time series models for continuous responses
    Biometrika, 2015, 102, (2), 325-343 Downloads View citations (94)

2014

  1. TRANSFORMED POLYNOMIALS FOR NONLINEAR AUTOREGRESSIVE MODELS OF THE CONDITIONAL MEAN
    Journal of Time Series Analysis, 2014, 35, (3), 218-238 Downloads View citations (1)
    See also Working Paper Transformed Polynomials for Nonlinear Autoregressive Models of the Conditional Mean, Tinbergen Institute Discussion Papers (2012) Downloads (2012)
 
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