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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 2018-08-30. Update your information in the RePEc Author Service.

Short-id: pbl135


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Working Papers

2018

  1. Missing Observations in Observation-Driven Time Series Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads

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 (1)
  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
  4. Maximum Likelihood Estimation for Score-Driven Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (26)
  5. Smooth Transition Spatial Autoregressive Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads

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 (21)
    DNB Working Papers, Netherlands Central Bank, Research Department (2015) Downloads View citations (15)

    See also Journal Article in Journal of Economic Dynamics and Control (2018)
  2. Feasible Invertibility Conditions and Maximum Likelihood Estimation for Observation-Driven Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (3)
  3. Feasible Invertibility Conditions for Maximum Likelihood Estimation for Observation-Driven Models
    Papers, arXiv.org Downloads View citations (2)
    Also in Working Papers, HAL (2016) Downloads View citations (3)

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 (1)
    See also Journal Article in International Journal of Forecasting (2016)
  4. Penalized Indirect Inference
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
    See also Journal Article in Journal of Econometrics (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 (2)
  4. Optimal Formulations for Nonlinear Autoregressive Processes
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (10)
  5. Spillover Dynamics for Systemic Risk Measurement using Spatial Financial Time Series Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (15)
    Also in Annual Conference 2014 (Hamburg): Evidence-based Economic Policy, Verein für Socialpolitik / German Economic Association (2014) Downloads View citations (6)

    See also Journal Article in Journal of Econometrics (2016)
  6. Time Varying Transition Probabilities for Markov Regime Switching Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (9)
    See also Journal Article in Journal of Time Series Analysis (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 (13)
  2. Transformed Polynomials for Nonlinear Autoregressive Models of the Conditional Mean
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
    See also Journal Article in Journal of Time Series Analysis (2014)

Journal Articles

2018

  1. A dynamic network model of the unsecured interbank lending market
    Journal of Economic Dynamics and Control, 2018, 90, (C), 310-342 Downloads
    See also Working Paper (2016)
  2. A stochastic recurrence equations approach for score driven correlation models
    Econometric Reviews, 2018, 37, (2), 166-181 Downloads
  3. Penalized indirect inference
    Journal of Econometrics, 2018, 205, (1), 34-54 Downloads View citations (1)
    See also Working Paper (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 (1)
    See also Working Paper (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 (4)
    See also Working Paper (2015)
  2. Semiparametric score driven volatility models
    Computational Statistics & Data Analysis, 2016, 100, (C), 58-69 Downloads View citations (2)
  3. Spillover dynamics for systemic risk measurement using spatial financial time series models
    Journal of Econometrics, 2016, 195, (2), 211-223 Downloads View citations (7)
    See also Working Paper (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 (3)

2015

  1. Information-theoretic optimality of observation-driven time series models for continuous responses
    Biometrika, 2015, 102, (2), 325-343 Downloads View citations (25)

2014

  1. TRANSFORMED POLYNOMIALS FOR NONLINEAR AUTOREGRESSIVE MODELS OF THE CONDITIONAL MEAN
    Journal of Time Series Analysis, 2014, 35, (3), 218-238 Downloads
    See also Working Paper (2012)
 
Page updated 2018-12-13