Francisco Blasques

VU University Amsterdam

De Boelelaan 1105

Amsterdam, ND North Holland 1081 HV

Netherlands

Tinbergen Institute

Gustav Mahlerplein 117

Amsterdam, 1082 MS

Netherlands

SCHOLARLY PAPERS

32

DOWNLOADS

2,349

SSRN CITATIONS

87

CROSSREF CITATIONS

81

Scholarly Papers (32)

1.

Maximum Likelihood Estimation for Score-Driven Models

Tinbergen Institute Discussion Paper 14-029/III
Number of pages: 52 Posted: 04 Mar 2014 Last Revised: 31 Oct 2017
Francisco Blasques, Siem Jan Koopman and Andre Lucas
VU University Amsterdam, Vrije Universiteit Amsterdam - School of Business and Economics and Vrije Universiteit Amsterdam - School of Business and Economics
Downloads 599 (56,413)
Citation 35

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score driven models, time-varying parameters,Markov processes, stationarity, invertibility, consistency, asymptotic normality

Time Varying Transition Probabilities for Markov Regime Switching Models

Tinbergen Institute Discussion Paper 14-072/III
Number of pages: 26 Posted: 20 Jun 2014
Marco Bazzi, Francisco Blasques, Siem Jan Koopman and Andre Lucas
University of Padua, VU University Amsterdam, Vrije Universiteit Amsterdam - School of Business and Economics and Vrije Universiteit Amsterdam - School of Business and Economics
Downloads 304 (124,390)
Citation 3

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Hidden Markov Models; observation driven models; generalized autoregressive score dynamics

Time‐Varying Transition Probabilities for Markov Regime Switching Models

Journal of Time Series Analysis, Vol. 38, Issue 3, pp. 458-478, 2017
Number of pages: 21 Posted: 05 Apr 2017
Marco Bazzi, Francisco Blasques, Siem Jan Koopman and Andre Lucas
University of Padua, VU University Amsterdam, Vrije Universiteit Amsterdam - School of Business and Economics and Vrije Universiteit Amsterdam - School of Business and Economics
Downloads 1 (823,662)
Citation 7
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Hidden Markov models, observation driven models, time varying parameter

3.

Dynamic Spatial Autoregressive Models with Time-Varying Spatial Weighting Matrices

Number of pages: 46 Posted: 14 Sep 2018 Last Revised: 29 Oct 2020
Anna Gloria Billé, Francisco Blasques and Leopoldo Catania
University of Padua, VU University Amsterdam and Aarhus University - School of Business and Social Sciences
Downloads 196 (192,564)
Citation 4

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A Dynamic Network Model of the Unsecured Interbank Lending Market

BIS Working Paper No. 491
Number of pages: 55 Posted: 27 Feb 2015
Francisco Blasques, Falk Bräuning and Iman van Lelyveld
VU University Amsterdam, Federal Reserve Banks - Federal Reserve Bank of Boston and De Nederlandsche Bank
Downloads 124 (282,086)

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Interbank liquidity, financial networks, credit risk uncertainty, peer monitoring, monetary policy, trading relationships, indirect parameter estimation

A Dynamic Network Model of the Unsecured Interbank Lending Market

De Nederlandsche Bank Working Paper No. 460
Number of pages: 57 Posted: 25 Feb 2015 Last Revised: 26 Feb 2015
Francisco Blasques, Falk Bräuning and Iman van Lelyveld
VU University Amsterdam, Federal Reserve Banks - Federal Reserve Bank of Boston and De Nederlandsche Bank
Downloads 65 (425,283)
Citation 21

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Interbank liquidity, financial networks, credit risk uncertainty, peer monitoring, monetary policy, trading relationships, indirect parameter estimation

5.

A Dynamic Stochastic Network Model of the Unsecured Interbank Lending Market

SWIFT Institute Working Paper No. 2012-007
Number of pages: 51 Posted: 05 Feb 2014 Last Revised: 01 Oct 2014
Francisco Blasques, Falk Bräuning and Iman van Lelyveld
VU University Amsterdam, Federal Reserve Banks - Federal Reserve Bank of Boston and De Nederlandsche Bank
Downloads 178 (209,701)
Citation 6

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interbank lending, stochastic, network model

6.

Spillover Dynamics for Systemic Risk Measurement Using Spatial Financial Time Series Models

Tinbergen Institute Discussion Paper 14-107/III
Number of pages: 48 Posted: 15 Aug 2014 Last Revised: 18 Aug 2014
Francisco Blasques, Siem Jan Koopman, Andre Lucas and Julia Schaumburg
VU University Amsterdam, Vrije Universiteit Amsterdam - School of Business and Economics, Vrije Universiteit Amsterdam - School of Business and Economics and Tinbergen Institute
Downloads 98 (330,408)
Citation 9

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Spatial correlation, time-varying parameters, systemic risk, European debt crisis, generalized autoregressive score

7.

Stationarity and Ergodicity of Univariate Generalized Autoregressive Score Processes

Tinbergen Institute Discussion Paper No. 12-059/2
Number of pages: 31 Posted: 22 Jun 2012 Last Revised: 20 Mar 2014
Francisco Blasques, Siem Jan Koopman and Andre Lucas
VU University Amsterdam, Vrije Universiteit Amsterdam - School of Business and Economics and Vrije Universiteit Amsterdam - School of Business and Economics
Downloads 98 (330,408)
Citation 16

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Dudley integral, Durations, Higher-order models, Nonlinear dynamics, Time-varying parameters, Volatility

8.

In-Sample Confidence Bands and Out-of-Sample Forecast Bands for Time-Varying Parameters in Observation Driven Models

Tinbergen Institute Discussion Paper 15-083/III
Number of pages: 34 Posted: 11 Jul 2015
Francisco Blasques, Siem Jan Koopman, Katarzyna Lasak and Andre Lucas
VU University Amsterdam, Vrije Universiteit Amsterdam - School of Business and Economics, VU Amsterdam and Vrije Universiteit Amsterdam - School of Business and Economics
Downloads 49 (478,825)
Citation 8

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autoregressive conditional duration, delta-method, generalized autoregressive conditional heteroskedasticity, score driven models, time-varying mean

9.

A Stochastic Recurrence Equation Approach to Stationarity and Phi-Mixing of a Class of Nonlinear ARCH Models

Tinbergen Institute Discussion Paper No. 17-072/III
Number of pages: 18 Posted: 22 Aug 2017
Francisco Blasques and Marc Nientker
VU University Amsterdam and VU University Amsterdam
Downloads 48 (482,926)
Citation 1

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Ergodicity, GARCH-type models, mixing, nonlinear time series, stationarity,stochastic recurrence equations, threshold models

10.

Forecasting in a Changing World: from the Great Recession to the COVID-19 Pandemic

Tinbergen Institute Discussion Paper 2021-006/III
Number of pages: 50 Posted: 16 Jan 2021
Vrije Universiteit Amsterdam, VU University Amsterdam, Vrije Universiteit Amsterdam - School of Business and Economics and Vrije Universiteit Amsterdam
Downloads 46 (491,493)

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Autoregressive Models, Cross-Validation, Kullback-Leibler Divergence, Stationarity and Ergodicity, Macroeconomic Time Series

11.

Optimal Formulations for Nonlinear Autoregressive Processes

Tinbergen Institute Discussion Paper 14-103/III
Number of pages: 54 Posted: 11 Aug 2014
Francisco Blasques, Siem Jan Koopman and Andre Lucas
VU University Amsterdam, Vrije Universiteit Amsterdam - School of Business and Economics and Vrije Universiteit Amsterdam - School of Business and Economics
Downloads 43 (504,926)
Citation 10

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Asymptotic theory; Dynamic models; Observation driven time series models; Smooth-transition model; Time-Varying Parameters; Treshold autoregressive model

12.

A Time-Varying Parameter Model for Local Explosions

Tinbergen Institute Discussion Paper 2018-088/III
Number of pages: 39 Posted: 10 Dec 2018
Francisco Blasques, Siem Jan Koopman and Marc Nientker
VU University Amsterdam, Vrije Universiteit Amsterdam - School of Business and Economics and VU University Amsterdam
Downloads 37 (533,398)

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bubbles, observation driven models, noncausal models, stationary, ergodic, consistency, asymptotic normality, exchange rates

13.

Smooth Transition Spatial Autoregressive Models

TI 2017-050/III, Tinbergen Institute Discussion Paper
Number of pages: 55 Posted: 01 Jun 2017
Bo Pieter Johannes Andree, Francisco Blasques and Eric Koomen
Vrije Universiteit Amsterdam, School of Business and Economics, VU University Amsterdam and VU University Amsterdam - Department of Spatial Economics
Downloads 37 (533,398)
Citation 2

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Dynamic panel, Threshold models, Spatial heterogeneity, Spatial autocorrelation, Urban Density, Interest Rates, Monetary Stability, Sovereign Debt Crisis

14.

Information Theoretic Optimality of Observation Driven Time Series Models

Tinbergen Institute Discussion Paper 14-046/III
Number of pages: 33 Posted: 12 Apr 2014
Francisco Blasques, Siem Jan Koopman and Andre Lucas
VU University Amsterdam, Vrije Universiteit Amsterdam - School of Business and Economics and Vrije Universiteit Amsterdam - School of Business and Economics
Downloads 37 (533,398)
Citation 32

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generalized autoregressive models, information theory, optimality, Kullback-Leibler distance, volatility models

15.

Low Frequency and Weighted Likelihood Solutions for Mixed Frequency Dynamic Factor Models

Tinbergen Institute Discussion Paper 14-105/III
Number of pages: 51 Posted: 12 Aug 2014
Francisco Blasques, Siem Jan Koopman and Max Mallee
VU University Amsterdam, Vrije Universiteit Amsterdam - School of Business and Economics and Vrije Universiteit Amsterdam, School of Business and Economics
Downloads 32 (559,864)
Citation 1

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Asymptotic theory, Forecasting, Kalman filter, Nowcasting, State space

16.

Missing Observations in Observation-Driven Time Series Models

Tinbergen Institute Discussion Paper 2018-013/III
Number of pages: 39 Posted: 23 Feb 2018
Francisco Blasques, Paolo Gorgi and Siem Jan Koopman
VU University Amsterdam, VU University Amsterdam - Faculty of Economics and Business Administration and Vrije Universiteit Amsterdam - School of Business and Economics
Downloads 29 (576,951)
Citation 3

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missing data, observation-driven models, consistency, indirect inference, volatility

17.

Tail Heterogeneity for Dynamic Covariance-Matrix-Valued Random Variables: the F-Riesz Distribution

Tinbergen Institute Discussion Paper 2021-010/III
Number of pages: 38 Posted: 13 Mar 2021
Francisco Blasques, Andre Lucas, Anne Opschoor and Luca Rossini
VU University Amsterdam, Vrije Universiteit Amsterdam - School of Business and Economics, Vrije Universiteit Amsterdam and University of Milan
Downloads 28 (583,070)

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Matrix Distributions, Tail Heterogeneity, (inverse) Riesz Distribution, Fat-Tails, Realized Covariance Matrices

18.

Penalized Indirect Inference

Tinbergen Institute Discussion Paper 15-009/III
Number of pages: 36 Posted: 19 Jan 2015
Francisco Blasques and Artem Duplinskiy
VU University Amsterdam and Vrije Universiteit Amsterdam, School of Business and Economics
Downloads 25 (602,205)
Citation 1

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Penalized estimation, Indirect Inference, Simulation-based methods, DSGE models

19.

A Note on 'Continuous Invertibility and Stable QML Estimation of the EGARCH (1,1) Model'

Tinbergen Institute Discussion Paper 15-131/III, 2015
Number of pages: 10 Posted: 14 Dec 2015
VU University Amsterdam, VU University Amsterdam - Faculty of Economics and Business Administration, Vrije Universiteit Amsterdam - School of Business and Economics and University of Copenhagen
Downloads 24 (608,944)
Citation 1

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invertibility, quasi-maximum likelihood estimator, volatility models

20.

Solution-Driven Specification of DSGE Models

Tinbergen Institute Discussion Paper No. TI 2013-062/III
Number of pages: 23 Posted: 23 Apr 2013
Francisco Blasques
VU University Amsterdam
Downloads 24 (608,944)

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Nonlinear Model Specification, DSGE, Perturbation Solutions

21.

Finite Sample Optimality of Score-Driven Volatility Models

Tinbergen Institute Discussion Paper 17-111/III
Number of pages: 23 Posted: 29 Nov 2017
Francisco Blasques, Andre Lucas and Andries van Vlodrop
VU University Amsterdam, Vrije Universiteit Amsterdam - School of Business and Economics and VU University Amsterdam
Downloads 23 (615,623)

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Volatility models, score-driven dynamics, finite samples, Kullback-Leibler divergence, optimality

22.

Accelerating GARCH and Score-Driven Models: Optimality, Estimation and Forecasting

Number of pages: 39 Posted: 21 Jul 2017
Francisco Blasques, Paolo Gorgi and Siem Jan Koopman
VU University Amsterdam, VU University Amsterdam - Faculty of Economics and Business Administration and Vrije Universiteit Amsterdam - School of Business and Economics
Downloads 23 (615,623)

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GARCH models, Kullback-Leibler divergence, score-driven models, S&P 500 stocks, time-varying parameters, US inflation

23.

On the Phase Dependence in Time-Varying Correlations between Time-Series

Tinbergen Institute Discussion Paper 13-054/III
Number of pages: 41 Posted: 06 Apr 2013
Francisco Blasques
VU University Amsterdam
Downloads 23 (615,623)

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nonparametric, phase-dependence, time-varying correlation

24.

Feasible Invertibility Conditions and Maximum Likelihood Estimation for Observation-Driven Models

Tinbergen Institute Discussion Paper 16-082/III
Number of pages: 34 Posted: 07 Oct 2016
VU University Amsterdam, VU University Amsterdam - Faculty of Economics and Business Administration, Vrije Universiteit Amsterdam - School of Business and Economics and University of Copenhagen
Downloads 21 (629,461)
Citation 4

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consistency, invertibility, maximum likelihood estimation, observation-driven models, stochastic recurrence equations

25.

In-Sample Bounds for Time-Varying Parameters of Observation Driven Models

Tinbergen Institute Discussion Paper 15-027/III
Number of pages: 31 Posted: 24 Feb 2015
Francisco Blasques, Siem Jan Koopman, Katarzyna Lasak and Andre Lucas
VU University Amsterdam, Vrije Universiteit Amsterdam - School of Business and Economics, VU Amsterdam and Vrije Universiteit Amsterdam - School of Business and Economics
Downloads 20 (636,484)

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autoregressive conditional duration, delta-method, generalized autoregressive conditional heteroskedasticity, score driven models, time-varying mean

26.

Transformed Perturbation Solutions for Dynamic Stochastic General Equilibrium Models

Tinbergen Institute Discussion Paper 2019-012/III
Number of pages: 59 Posted: 14 Feb 2019 Last Revised: 18 Feb 2020
Francisco Blasques and Marc Nientker
VU University Amsterdam and VU University Amsterdam
Downloads 18 (650,783)

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27.

Zero-Inflated Autoregressive Conditional Duration Model for Discrete Trade Durations With Excessive Zeros

Tinbergen Institute Discussion Paper 2019-004/III
Number of pages: 47 Posted: 20 Jan 2019
Francisco Blasques, Vladimír Holý and Petra Tomanova
VU University Amsterdam, University of Economics, Prague and University of Economics, Prague
Downloads 18 (650,783)

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Financial High-Frequency Data, Autoregressive Conditional Duration Model, Zero-Inflated Negative Binomial Distribution, Generalized Autoregressive Score Model

Transformed Polynomials for Nonlinear Autoregressive Models of the Conditional Mean

Tinbergen Institute Discussion Paper 12-133/III
Number of pages: 26 Posted: 07 Dec 2012
Francisco Blasques
VU University Amsterdam
Downloads 18 (673,201)

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time-series, nonlinear autoregressive models, semi-nonparametric models, method of sieves

Transformed Polynomials for Nonlinear Autoregressive Models of the Conditional Mean

Journal of Time Series Analysis, Vol. 35, Issue 3, pp. 218-238, 2014
Number of pages: 21 Posted: 16 Apr 2014
Francisco Blasques
VU University Amsterdam
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nonlinear autoregression, stability, stationarity, polynomials

29.

Common and Idiosyncratic Conditional Volatility Factors: Theory and Empirical Evidence

Tinbergen Institute Discussion Paper 2021-057/III
Number of pages: 60 Posted: 08 Jul 2021
Francisco Blasques, Enzo D'Innocenzo and Siem Jan Koopman
VU University Amsterdam, affiliation not provided to SSRN and Vrije Universiteit Amsterdam - School of Business and Economics
Downloads 16 (672,656)

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Financial econometrics, observation-driven models, conditional volatility, common factor

30.

Dynamic Factor Models with Clustered Loadings: Forecasting Education Flows using Unemployment Data

Tinbergen Institute Discussion Paper 2020-078/III
Number of pages: 40 Posted: 02 Dec 2020 Last Revised: 22 Jan 2021
VU University Amsterdam, Ministerie van onderwijs, cultuur en wetenschap, Vrije Universiteit Amsterdam - School of Business and Economics and VU University Amsterdam
Downloads 16 (665,128)

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Dynamic Factor Models, Cluster Analysis, Forecasting, Education, Unemployment

31.

Stationarity and Ergodicity Regions for Score Driven Dynamic Correlation Models

Tinbergen Institute Discussion Paper No. 13-097/IV/DSF59
Number of pages: 22 Posted: 20 Jul 2013 Last Revised: 20 Mar 2014
Francisco Blasques, Andre Lucas and Erkki Silde
VU University Amsterdam, Vrije Universiteit Amsterdam - School of Business and Economics and Vrije Universiteit Amsterdam, School of Business and Economics
Downloads 16 (665,128)

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dynamic copulas, generalized autoregressive score (GAS) models, stochastic recurrence equations, observation driven models, contraction properties

32.

A New Class of Robust Observation-Driven Models

Tinbergen Institute Discussion Paper 2020-073/III
Number of pages: 58 Posted: 17 Dec 2020
Francisco Blasques, Christian Francq and Sébastien Laurent
VU University Amsterdam, University of Lille III and AMSE
Downloads 15 (672,656)

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