Francisco Blasques

Research Fellow

Vrije Universiteit Amsterdam

Econometrics

Econometrics, Time Series Econometrics

Biography

Francisco Blasques is Professor of Econometrics and Data Science at Vrije Universiteit Amsterdam.

Key publications

Blasques, F., Francq, C. and Laurent, S. (2024). Autoregressive conditional betas Journal of Econometrics, 238(2):1--22.

Maximum Likelihood Estimation for Non-Stationary Location Models with Mixture of Normal Distributions

Blasques, F., van Brummelen, J., Gorgi, P. and Koopman, S.J. (2024). Maximum Likelihood Estimation for Non-Stationary Location Models with Mixture of Normal Distributions Journal of Econometrics, 238(1):.

Blasques, F., Harvey, A.C., Koopman, S.J. and Lucas, A. (2023). Time-Varying Parameters in Econometrics: The editor's foreword Journal of Econometrics, 237(2):.

Blasques, F. and Nientker, M. (2023). Stochastic properties of nonlinear locally-nonstationary filters Journal of Econometrics, 235(2):2082--2095.

Blasques, F., Francq, C. and Laurent, S. (2023). Quasi score-driven models Journal of Econometrics, 234(1):251--275.

Blasques, F., van Brummelen, J., Koopman, S.J. and Lucas, A. (2022). Maximum likelihood estimation for score-driven models Journal of Econometrics, 227(2):325--346.

Blasques, F., Koopman, S.J. and Nientker, M. (2022). A time-varying parameter model for local explosions Journal of Econometrics, 227(1):65--84.

Blasques, F., Gorgi, P. and Koopman, S.J. (2021). Missing observations in observation-driven time series models Journal of Econometrics, 221(2):542--568.

Blasques, F., Gorgi, P. and Koopman, S.J. (2019). Accelerating score-driven time series models Journal of Econometrics, 212(2):359--376.

Blasques, F. and Duplinskiy, A. (2018). Penalized indirect inference Journal of Econometrics, 205(1):34--54.

Spillover dynamics for systemic risk measurement using spatial financial time series models

Blasques, F., Koopman, S., Lucas, A. and Schaumburg, J. (2016). Spillover dynamics for systemic risk measurement using spatial financial time series models Journal of Econometrics, 195(2):211--223.

Weighted Maximum Likelihood for Dynamic Factor Analysis and Forecasting with Mixed Frequency Data

Blasques Albergaria Amaral, F., Koopman, S., Mallee, M. and Zhang, Z. (2016). Weighted Maximum Likelihood for Dynamic Factor Analysis and Forecasting with Mixed Frequency Data Journal of Econometrics, 193(2):405--417.

List of publications

Blasques, F., Francq, C. and Laurent, S. (2024). Autoregressive conditional betas Journal of Econometrics, 238(2):1--22.

Blasques, F., van Brummelen, J., Gorgi, P. and Koopman, S.J. (2024). A robust Beveridge–Nelson decomposition using a score-driven approach with an application Economics Letters, 236:1--5.

Blasques, F., D\textquoterightInnocenzo, E. and Koopman, S.J. (2024). Common and idiosyncratic conditional volatility: Theory and empirical evidence from electricity prices Econometric Reviews, 43(8):638--670.

Blasques, F., Holý, V. and Tomanová, P. (2024). Zero-Inflated Autoregressive Conditional Duration Model for Discrete Trade Durations with Excessive Zeros Studies in Nonlinear Dynamics and Econometrics, 28(5):673--702.

Blasques, F., Harvey, A.C., Koopman, S.J. and Lucas, A. (2023). Time-Varying Parameters in Econometrics: The editor's foreword Journal of Econometrics, 237(2):.

Blasques, F. and Nientker, M. (2023). Stochastic properties of nonlinear locally-nonstationary filters Journal of Econometrics, 235(2):2082--2095.

Blasques, F., Francq, C. and Laurent, S. (2023). Quasi score-driven models Journal of Econometrics, 234(1):251--275.

Blasques, F., van Brummelen, J., Koopman, S.J. and Lucas, A. (2022). Maximum likelihood estimation for score-driven models Journal of Econometrics, 227(2):325--346.

Blasques, F., Koopman, S.J. and Nientker, M. (2022). A time-varying parameter model for local explosions Journal of Econometrics, 227(1):65--84.

van de Werve, I., Blasques, F., Koopman, S.J. and Heres Hoogerkamp, M. (2021). Dynamic factor models with clustered loadings: Forecasting education flows using unemployment data International Journal of Forecasting, 37(4):1426--1441.

Blasques, F., Gorgi, P. and Koopman, S.J. (2021). Missing observations in observation-driven time series models Journal of Econometrics, 221(2):542--568.

Blasques, F., Koopman, S.J. and Lucas, A. (2020). Nonlinear autoregressive models with optimality properties Econometric Reviews, 39(6):559--578.

Blasques, F., Gorgi, P. and Koopman, S.J. (2019). Accelerating score-driven time series models Journal of Econometrics, 212(2):359--376.

Blasques, F. and Duplinskiy, A. (2018). Penalized indirect inference Journal of Econometrics, 205(1):34--54.

Blasques, F., Lucas, A. and Silde, E. (2018). A Stochastic Recurrence Equations Approach for Score Driven Correlation Models Econometric Reviews, 37(2):166--181.

Blasques, F., Bräuning, F. and Lelyveld, I.V. (2018). A dynamic network model of the unsecured interbank lending market Journal of Economic Dynamics and Control, 90:310--342.

Blasques, F., Koopman, S., Lasak, K. and Lucas, A. (2016). Rejoinder to the discussion 'In-Sample Confidence Bands and Out-of-Sample Forecast Bands for Time-Varying Parameters in Observation-Driven Models' International Journal of Forecasting, 32(3):893--894.

Blasques, F., Koopman, S., Lucas, A. and Schaumburg, J. (2016). Spillover dynamics for systemic risk measurement using spatial financial time series models Journal of Econometrics, 195(2):211--223.

Blasques, F., Koopman, S., Lasak, K. and Lucas, A. (2016). In-Sample Confidence Bands and Out-of-Sample Forecast Bands for Time-Varying Parameters in Observation Driven Models International Journal of Forecasting, 32(3):875--887.

Blasques, F., Koopman, S. and Lucas, A. (2015). Information Theoretic Optimality of Observation Driven Time Series Models Biometrika, 102(2):325--343.