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Francisco A. A. Blasques

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Personal Details

First Name:Francisco
Middle Name:A. A.
Last Name:Blasques
Suffix:
RePEc Short-ID:pbl135
http://personal.vu.nl/f.blasques/
FEWEB/FIN, office 1A-31 VU University Amsterdam De Boelelaan 1105 NL-1081HV Amsterdam
Amsterdam, Netherlands
http://www.tinbergen.nl/

: +31 (0)20 598 4580

Gustav Mahlerplein 117, 1082 MS Amsterdam
RePEc:edi:tinbenl (more details at EDIRC)
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  1. Francisco Blasques & Artem Duplinskiy, 2015. "Penalized Indirect Inference," Tinbergen Institute Discussion Papers 15-009/III, Tinbergen Institute.
  2. Francisco Blasques & Falk Bräuning & Iman van Lelyveld, 2015. "A dynamic network model of the unsecured interbank lending market," DNB Working Papers 460, Netherlands Central Bank, Research Department.
  3. Francisco Blasques & Paolo Gorgi & Siem Jan Koopman & Olivier Wintenberger, 2015. "A Note on “Continuous Invertibility and Stable QML Estimation of the EGARCH(1,1) Model”," Tinbergen Institute Discussion Papers 15-131/III, Tinbergen Institute.
  4. Francisco Blasques & Siem Jan Koopman & Katarzyna Lasak & André Lucas, 2015. "In-Sample Confidence Bands and Out-of-Sample Forecast Bands for Time-Varying Parameters in Observation Driven Models," Tinbergen Institute Discussion Papers 15-083/III, Tinbergen Institute.
  5. Francisco Blasques & Siem Jan Koopman & Katarzyna Lasak & André Lucas, 2015. "In-Sample Bounds for Time-Varying Parameters of Observation Driven Models," Tinbergen Institute Discussion Papers 15-027/III, Tinbergen Institute, revised 07 Sep 2015.
  6. Francisco Blasques & Siem Jan Koopman & Max Mallee, 2014. "Low Frequency and Weighted Likelihood Solutions for Mixed Frequency Dynamic Factor Models," Tinbergen Institute Discussion Papers 14-105/III, Tinbergen Institute.
  7. Francisco Blasques & Siem Jan Koopman & André Lucas, 2014. "Information Theoretic Optimality of Observation Driven Time Series Models," Tinbergen Institute Discussion Papers 14-046/III, Tinbergen Institute.
  8. Francisco Blasques & Siem Jan Koopman & André Lucas, 2014. "Maximum Likelihood Estimation for correctly Specified Generalized Autoregressive Score Models: Feedback Effects, Contraction Conditions and Asymptotic Properties," Tinbergen Institute Discussion Papers 14-074/III, Tinbergen Institute.
  9. Francisco Blasques & Siem Jan Koopman & André Lucas, 2014. "Optimal Formulations for Nonlinear Autoregressive Processes," Tinbergen Institute Discussion Papers 14-103/III, Tinbergen Institute.
  10. Marco Bazzi & Francisco Blasques & Siem Jan Koopman & Andre Lucas, 2014. "Time Varying Transition Probabilities for Markov Regime Switching Models," Tinbergen Institute Discussion Papers 14-072/III, Tinbergen Institute.
  11. Francisco Blasques & Siem Jan Koopman & Andre Lucas, 2014. "Maximum Likelihood Estimation for Generalized Autoregressive Score Models," Tinbergen Institute Discussion Papers 14-029/III, Tinbergen Institute, revised 19 Apr 2014.
  12. Blasques, Francisco & Koopman, Siem Jan & Lucas, Andre & Schaumburg, Julia, 2014. "Spillover dynamics for systemic risk measurement using spatial financial time series models," Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100632, Verein für Socialpolitik / German Economic Association.
  13. Francisco Blasques & Andre Lucas & Erkki Silde, 2013. "Stationarity and Ergodicity Regions for Score Driven Dynamic Correlation Models," Tinbergen Institute Discussion Papers 13-097/IV/DSF59, Tinbergen Institute.
  14. Francisco Blasques, 2013. "On the Phase Dependence in Time-Varying Correlations Between Time-Series," Tinbergen Institute Discussion Papers 13-054/III, Tinbergen Institute.
  15. Francisco Blasques, 2013. "Solution-Driven Specification of DSGE Models," Tinbergen Institute Discussion Papers 13-062/III, Tinbergen Institute.
  16. Francisco Blasques, 2012. "Transformed Polynomials for Nonlinear Autoregressive Models of the Conditional Mean," Tinbergen Institute Discussion Papers 12-133/III, Tinbergen Institute.
  17. Francisco Blasques & Siem Jan Koopman & Andre Lucas, 2012. "Stationarity and Ergodicity of Univariate Generalized Autoregressive Score Processes," Tinbergen Institute Discussion Papers 12-059/4, Tinbergen Institute.
  1. Blasques, Francisco & Ji, Jiangyu & Lucas, André, 2016. "Semiparametric score driven volatility models," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 58-69.
  2. Blasques, Francisco & Koopman, Siem Jan & Łasak, Katarzyna & Lucas, André, 2016. "In-sample confidence bands and out-of-sample forecast bands for time-varying parameters in observation-driven models," International Journal of Forecasting, Elsevier, vol. 32(3), pages 875-887.
  3. Blasques, F. & Koopman, S.J. & Mallee, M. & Zhang, Z., 2016. "Weighted maximum likelihood for dynamic factor analysis and forecasting with mixed frequency data," Journal of Econometrics, Elsevier, vol. 193(2), pages 405-417.
  4. F. Blasques & S. J. Koopman & A. Lucas, 2015. "Information-theoretic optimality of observation-driven time series models for continuous responses," Biometrika, Biometrika Trust, vol. 102(2), pages 325-343.
  5. Francisco Blasques, 2014. "Transformed Polynomials For Nonlinear Autoregressive Models Of The Conditional Mean," Journal of Time Series Analysis, Wiley Blackwell, vol. 35(3), pages 218-238, 05.
NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 6 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-ECM: Econometrics (16) 2013-04-13 2013-05-05 2014-07-13 2014-07-13 2014-11-22 2015-02-16 2015-04-25 2015-04-25 2015-04-25 2015-04-25 2015-04-25 2015-04-25 2015-04-25 2015-04-25 2015-07-18 2016-02-29. Author is listed
  2. NEP-ETS: Econometric Time Series (13) 2013-01-07 2013-04-13 2014-11-17 2014-11-22 2015-04-25 2015-04-25 2015-04-25 2015-04-25 2015-04-25 2015-04-25 2015-04-25 2015-07-18 2016-02-29. Author is listed
  3. NEP-MAC: Macroeconomics (5) 2015-03-05 2015-04-25 2015-04-25 2015-04-25 2016-06-04. Author is listed
  4. NEP-ORE: Operations Research (4) 2013-05-05 2014-07-13 2015-04-25 2015-07-18. Author is listed
  5. NEP-BAN: Banking (3) 2015-03-05 2015-03-13 2016-06-04. Author is listed
  6. NEP-MON: Monetary Economics (3) 2015-03-05 2015-03-13 2016-06-04. Author is listed
  7. NEP-URE: Urban & Real Estate Economics (3) 2014-11-12 2015-02-16 2015-04-25. Author is listed
  8. NEP-DGE: Dynamic General Equilibrium (2) 2013-05-05 2015-04-25. Author is listed
  9. NEP-NET: Network Economics (2) 2015-03-05 2015-03-13. Author is listed
  10. NEP-FOR: Forecasting (1) 2015-07-18
  11. NEP-MFD: Microfinance (1) 2015-03-05
  12. NEP-RMG: Risk Management (1) 2015-02-16

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