Details about Francisco A. A. Blasques

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

Working Papers

2024

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

2023

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

2021

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

2020

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

2018

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

2017

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

2016

13. A dynamic network model of the unsecured interbank lending market
    Working Papers, Federal Reserve Bank of Boston View citations (3)
    Also in BIS Working Papers, Bank for International Settlements (2015) 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) View citations (19) (2018)
14. Feasible Invertibility Conditions and Maximum Likelihood Estimation for Observation-Driven Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (18)
15. Feasible Invertibility Conditions for Maximum Likelihood Estimation for Observation-Driven Models
    Papers, arXiv.org View citations (7)

2015

16. A Note on “Continuous Invertibility and Stable QML Estimation of the EGARCH(1,1) Model”
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (3)
17. In-Sample Bounds for Time-Varying Parameters of Observation Driven Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute
18. In-Sample Confidence Bands and Out-of-Sample Forecast Bands for Time-Varying Parameters in Observation Driven Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute 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) View citations (19) (2016)
19. Penalized Indirect Inference
    Tinbergen Institute Discussion Papers, Tinbergen Institute
    See also Journal Article Penalized indirect inference, Journal of Econometrics, Elsevier (2018) View citations (4) (2018)

2014

20. Information Theoretic Optimality of Observation Driven Time Series Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (14)
21. Low Frequency and Weighted Likelihood Solutions for Mixed Frequency Dynamic Factor Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute
22. Maximum Likelihood Estimation for correctly Specified Generalized Autoregressive Score Models: Feedback Effects, Contraction Conditions and Asymptotic Properties
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (9)
23. Optimal Formulations for Nonlinear Autoregressive Processes
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (14)
24. Spillover Dynamics for Systemic Risk Measurement using Spatial Financial Time Series Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (16)
    Also in VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy, Verein für Socialpolitik / German Economic Association (2014) View citations (7)
    See also Journal Article Spillover dynamics for systemic risk measurement using spatial financial time series models, Journal of Econometrics, Elsevier (2016) View citations (72) (2016)
25. Time Varying Transition Probabilities for Markov Regime Switching Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (13)
    See also Journal Article Time-Varying Transition Probabilities for Markov Regime Switching Models, Journal of Time Series Analysis, Wiley Blackwell (2017) View citations (36) (2017)

2013

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

2012

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

Journal Articles

2021

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

2020

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

2019

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

2018

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

2017

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

2016

9. 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 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) View citations (2) (2015)
10. Semiparametric score driven volatility models
    Computational Statistics & Data Analysis, 2016, 100, (C), 58-69 View citations (5)
11. Spillover dynamics for systemic risk measurement using spatial financial time series models
    Journal of Econometrics, 2016, 195, (2), 211-223 View citations (72)
    See also Working Paper Spillover Dynamics for Systemic Risk Measurement using Spatial Financial Time Series Models, Tinbergen Institute Discussion Papers (2014) View citations (16) (2014)
12. Weighted maximum likelihood for dynamic factor analysis and forecasting with mixed frequency data
    Journal of Econometrics, 2016, 193, (2), 405-417 View citations (23)

2015

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

2014

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