![Autoregressive conditional betas](https://tinbergen.nl/media/cache/publication_detail/media/publication/image/c233ce3f29c02dcc48f31c9d82749816_75caa2d8a9ee03a2d3f925e1f9e4bf29_0304-4076.jpg)
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Francisco Blasques
Key publications
![Autoregressive conditional betas](https://tinbergen.nl/media/cache/publication_detail/media/publication/image/c233ce3f29c02dcc48f31c9d82749816_75caa2d8a9ee03a2d3f925e1f9e4bf29_0304-4076.jpg)
![Maximum Likelihood Estimation for Non-Stationary Location Models with Mixture of Normal Distributions](https://tinbergen.nl/media/cache/publication_detail/media/publication/image/c233ce3f29c02dcc48f31c9d82749816_0304-4076-52.jpg)
![Time-Varying Parameters in Econometrics: The editor's foreword](https://tinbergen.nl/media/cache/publication_detail/media/publication/image/c233ce3f29c02dcc48f31c9d82749816_0304-4076-44.jpg)
![Stochastic properties of nonlinear locally-nonstationary filters](https://tinbergen.nl/media/cache/publication_detail/media/publication/image/c233ce3f29c02dcc48f31c9d82749816_0304-4076-45.jpg)
![Quasi score-driven models](https://tinbergen.nl/media/cache/publication_detail/media/publication/image/c233ce3f29c02dcc48f31c9d82749816_0304-4076-47.jpg)
![Maximum likelihood estimation for score-driven models](https://tinbergen.nl/media/cache/publication_detail/media/publication/image/c233ce3f29c02dcc48f31c9d82749816_0304-4076-30.jpg)
![A time-varying parameter model for local explosions](https://tinbergen.nl/media/cache/publication_detail/media/publication/image/c233ce3f29c02dcc48f31c9d82749816_0304-4076-35.jpg)
![Missing observations in observation-driven time series models](https://tinbergen.nl/media/cache/publication_detail/media/publication/image/c233ce3f29c02dcc48f31c9d82749816_0304-4076-41.jpg)
![Accelerating score-driven time series models](https://tinbergen.nl/media/cache/publication_detail/media/publication/image/c233ce3f29c02dcc48f31c9d82749816_efdb733e4fd9d56fc3f4b4c9116afcc7_0304-4076.jpg)
![Penalized indirect inference](https://tinbergen.nl/media/cache/publication_detail/media/publication/image/c233ce3f29c02dcc48f31c9d82749816_bbb3ab9eeec59e96b9015af2cd5ee367_0304-4076.jpg)
![Spillover dynamics for systemic risk measurement using spatial financial time series models](https://tinbergen.nl/media/cache/publication_detail/media/publication/image/c233ce3f29c02dcc48f31c9d82749816_fabf54ded96c70a32cc7fbca6fcf80bb_0304-4076.jpg)
![Weighted Maximum Likelihood for Dynamic Factor Analysis and Forecasting with Mixed Frequency Data](https://tinbergen.nl/media/cache/publication_detail/media/publication/image/c233ce3f29c02dcc48f31c9d82749816_ad3027fc30b58ee2c4cffca63db01c54_0304-4076.jpg)
List of publications
Blasques, F., Francq, C. and Laurent, S. (2024). Autoregressive conditional betas Journal of Econometrics, 238(2):.
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):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., 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 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.
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.