Francisco A. A. Blasques : Citation Profile

Are you Francisco A. A. Blasques?

Vrije Universiteit Amsterdam (50% share)
Tinbergen Instituut (50% share)

10

H index

10

i10 index

342

Citations

RESEARCH PRODUCTION:

14

Articles

34

Papers

RESEARCH ACTIVITY:

   10 years (2012 - 2022). See details.
   Cites by year: 34
   Journals where Francisco A. A. Blasques has often published
   Relations with other researchers
   Recent citing documents: 90.    Total self citations: 27 (7.32 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pbl135
   Updated: 2023-03-25    RAS profile: 2021-04-08    
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Relations with other researchers

Works with:

Koopman, Siem Jan (11)

Lucas, Andre (7)

Authors registered in RePEc who have co-authored more than one work in the last five years with Francisco A. A. Blasques.

Is cited by:

Lucas, Andre (43)

Koopman, Siem Jan (24)

Catania, Leopoldo (19)

Zhang, Xin (15)

Francq, Christian (14)

Schwaab, Bernd (14)

Laurent, Sébastien (12)

darolles, serge (12)

Delle Monache, Davide (11)

Petrella, Ivan (11)

Escribano, Alvaro (9)

Cites to:

Koopman, Siem Jan (120)

Lucas, Andre (111)

Creal, Drew (62)

Engle, Robert (47)

Bollerslev, Tim (35)

Schwaab, Bernd (20)

Shephard, Neil (19)

Wintenberger, Olivier (18)

Delle Monache, Davide (17)

Petrella, Ivan (17)

Patton, Andrew (17)

Main data

Where Francisco A. A. Blasques has published?

Journals with more than one article published# docs
Journal of Econometrics5
Biometrika2
Journal of Time Series Analysis2
Econometric Reviews2

Working Papers Series with more than one paper published# docs
Tinbergen Institute Discussion Papers / Tinbergen Institute28
Papers / arXiv.org2

Recent works citing Francisco A. A. Blasques (2022 and 2021)

YearTitle of citing document
2023Dynamic Spatial Autoregressive Models with Autoregressive and Heteroskedastic Disturbances. (2016). Catania, Leopoldo ; Billé, Anna Gloria. In: Papers. RePEc:arx:papers:1602.02542.

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2023Dynamic Adaptive Mixture Models. (2016). Catania, Leopoldo. In: Papers. RePEc:arx:papers:1603.01308.

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2022Are low frequency macroeconomic variables important for high frequency electricity prices?. (2020). Rossini, Luca ; Ravazzolo, Francesco ; Foroni, Claudia. In: Papers. RePEc:arx:papers:2007.13566.

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2021Modelling time-varying interactions in complex systems: the Score Driven Kinetic Ising Model. (2020). Tantari, Daniele ; Lillo, Fabrizio ; di Gangi, Domenico ; Campajola, Carlo. In: Papers. RePEc:arx:papers:2007.15545.

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2022A Robust Score-Driven Filter for Multivariate Time Series. (2020). Mazzocchi, Mario ; Luati, Alessandra ; D'Innocenzo, Enzo. In: Papers. RePEc:arx:papers:2009.01517.

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2021Capturing GDP nowcast uncertainty in real time. (2020). Labonne, Paul. In: Papers. RePEc:arx:papers:2012.02601.

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2022A Lucas Critique Compliant SVAR model with Observation-driven Time-varying Parameters. (2021). Corsi, Fulvio ; Bormetti, Giacomo. In: Papers. RePEc:arx:papers:2107.05263.

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2022Score Driven Generalized Fitness Model for Sparse and Weighted Temporal Networks. (2022). di Gangi, Domenico ; Lillo, Fabrizio ; Bormetti, Giacomo. In: Papers. RePEc:arx:papers:2202.09854.

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2022Option Pricing with Time-Varying Volatility Risk Aversion. (2022). Tong, Chen ; Hansen, Peter Reinhard. In: Papers. RePEc:arx:papers:2204.06943.

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2022Time-Varying Poisson Autoregression. (2022). Cavaliere, Giuseppe ; de Angelis, Luca ; D'Innocenzo, Enzo ; Angelini, Giovanni. In: Papers. RePEc:arx:papers:2207.11003.

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2022Reservoir Computing for Macroeconomic Forecasting with Mixed Frequency Data. (2022). Ortega, Juan-Pablo ; van Huellen, Sophie ; Hirt, Marcel ; Grigoryeva, Lyudmila ; Dellaportas, Petros ; Ballarin, Giovanni. In: Papers. RePEc:arx:papers:2211.00363.

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2023An Intraday GARCH Model for Discrete Price Changes and Irregularly Spaced Observations. (2022). Hol, Vladim'Ir. In: Papers. RePEc:arx:papers:2211.12376.

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2022Measuring price impact and information content of trades in a time-varying setting. (2022). Lillo, F ; Bormetti, G ; Campigli, F. In: Papers. RePEc:arx:papers:2212.12687.

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2021Networking the Yield Curve: Implications for Monetary Policy. (2021). Dahlhaus, Tatjana ; Schaumburg, Julia ; Sekhposyan, Tatevik. In: Staff Working Papers. RePEc:bca:bocawp:21-4.

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2021Bargaining power and outside options in the interbank lending market. (2021). Bräuning, Falk ; Brauning, Falk ; Abbassi, Puriya ; Schulze, Niels. In: Financial Management. RePEc:bla:finmgt:v:50:y:2021:i:2:p:553-586.

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2021The impact of trading behavioral biases on market liquidity under different volatility levels: Evidence from the Chinese commodity futures market. (2021). Zheng, Kaixin ; Tse, Yiuman ; Liu, Qingfu. In: The Financial Review. RePEc:bla:finrev:v:56:y:2021:i:4:p:671-692.

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2021Mixtures of Nonlinear Poisson Autoregressions. (2021). Rynkiewicz, Joseph ; Fokianos, Konstantinos ; Doukhan, Paul. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:42:y:2021:i:1:p:107-135.

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2021Bayesian State?Space Modeling for Analyzing Heterogeneous Network Effects of US Monetary Policy. (2021). Pfarrhofer, Michael ; Hauzenberger, Niko. In: Scandinavian Journal of Economics. RePEc:bla:scandj:v:123:y:2021:i:4:p:1261-1291.

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2021Regime switching models for directional and linear observations. (2021). Palumbo, D ; Harvey, A. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2123.

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2021Score-driven time series models. (2021). Harvey, Andrew. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2133.

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2021Spillover Effects in International Business Cycles. (2021). Perez Quiros, Gabriel ; Pacce, Matías ; Perez-Quiros, Gabriel ; Camacho, Maximo. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:15787.

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2022Score-driven threshold ice-age models: benchmark models for long-run climate forecasts. (2022). Blazsek, Szabolcs ; Escribano, Alvaro. In: UC3M Working papers. Economics. RePEc:cte:werepe:34757.

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2021Networking the yield curve: implications for monetary policy. (2021). Dalhaus, Tatjana ; Sekhposyan, Tatevik ; Schaumburg, Julia. In: Working Paper Series. RePEc:ecb:ecbwps:20212532.

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2021An intraday-return-based Value-at-Risk model driven by dynamic conditional score with censored generalized Pareto distribution. (2021). Li, Handong ; Tian, Fei ; Song, Shijia. In: Journal of Asian Economics. RePEc:eee:asieco:v:74:y:2021:i:c:s1049007821000439.

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2021Time-varying inter-urban housing price spillovers in China: Causes and consequences. (2021). Yang, Haisheng ; Li, Jie ; Lu, Yunzhi. In: Journal of Asian Economics. RePEc:eee:asieco:v:77:y:2021:i:c:s1049007821001251.

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2021Origins of monetary policy shifts: A New approach to regime switching in DSGE models. (2021). Maih, Junior ; Tan, Fei ; Chang, Yoosoon. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:133:y:2021:i:c:s0165188921001706.

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2022The existence of flight-to-quality under extreme conditions: Evidence from a nonlinear perspective in Chinese stocks and bonds sectors. (2022). Peng, Cheng ; Wang, Gangjin ; Su, Xiaojian ; Deng, Chao. In: Economic Modelling. RePEc:eee:ecmode:v:113:y:2022:i:c:s0264999322001419.

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2021Dynamic volatility modelling of Bitcoin using time-varying transition probability Markov-switching GARCH model. (2021). Ng, Kooi-Huat ; Koh, You-Beng ; Tan, Chia-Yen. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:56:y:2021:i:c:s1062940821000164.

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2022Network analysis of local currency Asian government bond markets: Assessments of the ABFI and the ABMI. (2022). Shimada, Junji ; Miyakoshi, Tatsuyoshi. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:62:y:2022:i:c:s1062940822000791.

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2021The continuous-time limit of score-driven volatility models. (2021). Livieri, Giulia ; Flandoli, Franco ; Corsi, Fulvio ; Buccheri, Giuseppe. In: Journal of Econometrics. RePEc:eee:econom:v:221:y:2021:i:2:p:655-675.

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2022A time-varying parameter model for local explosions. (2022). Koopman, Siem Jan ; Nientker, Marc ; Blasques, Francisco. In: Journal of Econometrics. RePEc:eee:econom:v:227:y:2022:i:1:p:65-84.

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2022Maximum likelihood estimation for score-driven models. (2022). Lucas, Andre ; Koopman, Siem Jan ; van Brummelen, Janneke ; Blasques, Francisco. In: Journal of Econometrics. RePEc:eee:econom:v:227:y:2022:i:2:p:325-346.

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2021Finite Sample Optimality of Score-Driven Volatility Models: Some Monte Carlo Evidence. (2021). Lucas, Andre ; van Vlodrop, Andries C ; Blasques, Francisco. In: Econometrics and Statistics. RePEc:eee:ecosta:v:19:y:2021:i:c:p:47-57.

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2021Forecasting crude oil volatility with geopolitical risk: Do time-varying switching probabilities play a role?. (2021). Ma, Feng ; Wang, LU ; Gao, Xinxin ; Hao, Jianyang. In: International Review of Financial Analysis. RePEc:eee:finana:v:76:y:2021:i:c:s1057521921000983.

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2021Ethical and unethical investments under extreme market conditions. (2021). Troster, Victor ; Kang, Sang Hoon ; Uddin, Gazi Salah ; Rholm, Anna ; Olofsson, Petter. In: International Review of Financial Analysis. RePEc:eee:finana:v:78:y:2021:i:c:s1057521921002726.

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2022Predicting VaR for Chinas stock market: A score-driven model based on normal inverse Gaussian distribution. (2022). Song, Shijia ; Li, Handong. In: International Review of Financial Analysis. RePEc:eee:finana:v:82:y:2022:i:c:s1057521922001429.

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2022Systemic risk of commodity markets: A dynamic factor copula approach. (2022). Ouyang, Ruolan ; Zhao, Yang ; Fang, YI ; Chen, Xiang. In: International Review of Financial Analysis. RePEc:eee:finana:v:82:y:2022:i:c:s105752192200165x.

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2022COVID-19 and currency dependences: Empirical evidence from BRICS. (2022). Lien, Donald ; Xu, Yingying. In: Finance Research Letters. RePEc:eee:finlet:v:45:y:2022:i:c:s1544612321002002.

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2022Structural breaks, macroeconomic fundamentals and cross hedge ratio. (2022). Liu, LI ; Dong, Qingma ; Xiao, Dongli ; Pan, Zhiyuan. In: Finance Research Letters. RePEc:eee:finlet:v:47:y:2022:i:pa:s1544612321005699.

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2022Sovereign risk spillovers: A network approach. (2022). Le, Anh ; Dickinson, David. In: Journal of Financial Stability. RePEc:eee:finsta:v:60:y:2022:i:c:s1572308922000341.

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2022Credit risk interdependence in global financial markets: Evidence from three regions using multiple and partial wavelet approaches. (2022). Choi, Sun-Yong. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:80:y:2022:i:c:s1042443122001093.

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2021Observation-driven models for realized variances and overnight returns applied to Value-at-Risk and Expected Shortfall forecasting. (2021). Lucas, Andre ; Opschoor, Anne. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:2:p:622-633.

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202130 years of cointegration and dynamic factor models forecasting and its future with big data: Editorial. (2021). Ruiz, Esther ; Pea, Daniel ; Escribano, Alvaro. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:4:p:1333-1337.

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2021Bank systemic risk exposure and office market interconnectedness. (2021). Füss, Roland ; Ruf, Daniel ; Fuss, Roland ; ROLAND FÜSS, . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:133:y:2021:i:c:s0378426621002636.

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2022Intermediation in the interbank lending market. (2022). Ma, Yiming ; Craig, Ben. In: Journal of Financial Economics. RePEc:eee:jfinec:v:145:y:2022:i:2:p:179-207.

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2022Measuring 25 years of global equity market co-movement using a time-varying spatial model. (2022). Prange, Philipp ; Peter, Franziska J ; Thomas, . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:128:y:2022:i:c:s0261560622001115.

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2021A score-driven model of short-term demand forecasting for retail distribution centers. (2021). Veiga, Alvaro ; Fernandes, Cristiano ; Borenstein, Denis ; Hoeltgebaum, Henrique. In: Journal of Retailing. RePEc:eee:jouret:v:97:y:2021:i:4:p:715-725.

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2021Citation likelihood analysis of the interbank financial networks literature: A machine learning and bibliometric approach. (2021). Silva, Thiago ; Braz, Tercio ; Fiche, Marcelo Estrela ; Tabak, Benjamin Miranda. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:562:y:2021:i:c:s0378437120307172.

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2021Network diffusion of international oil volatility risk in Chinas stock market: Quantile interconnectedness modelling and shock decomposition analysis. (2021). Xia, Xiaohua ; Li, Ziruo ; Huang, Jionghao. In: International Review of Economics & Finance. RePEc:eee:reveco:v:76:y:2021:i:c:p:1-39.

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2021Banks’ interconnections and peer effects: Evidence from Chile. (2021). Carreo, Jose Gabriel ; Cifuentes, Rodrigo ; Margaretic, Paula. In: Research in International Business and Finance. RePEc:eee:riibaf:v:58:y:2021:i:c:s0275531921000593.

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2022Forecasting Value-at-Risk of cryptocurrencies using the time-varying mixture-accelerating generalized autoregressive score model. (2022). Liu, Yimeng ; Song, Jiashan ; Zeng, Linhui ; Jiang, Kunliang. In: Research in International Business and Finance. RePEc:eee:riibaf:v:61:y:2022:i:c:s0275531922000228.

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2022Transitions into and out of food insecurity: A probabilistic approach with panel data evidence from 15 countries. (2022). Spencer, Phoebe Girouard ; Chamorro, Andres Fernando ; Johannes, Bo Pieter ; Wang, Dieter. In: World Development. RePEc:eee:wdevel:v:159:y:2022:i:c:s0305750x2200225x.

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2021The gender gap in intergenerational mobility. (2021). Leone, Tharcisio. In: World Development Perspectives. RePEc:eee:wodepe:v:21:y:2021:i:c:s2452292920301065.

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2022The Transmission of Financial Shocks and Leverage of Financial Institutions: An Endogenous Regime-Switching Framework. (2022). Waggoner, Daniel F ; Hubrich, Kirstin. In: FRB Atlanta Working Paper. RePEc:fip:fedawp:94786.

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2021Better the Devil You Know: Improved Forecasts from Imperfect Models. (2021). Patton, Andrew ; Oh, Dong Hwan. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2021-71.

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2022The transmission of financial shocks and leverage of financial institutions: An endogenous regime switching framework. (2022). Waggoner, Daniel F ; Hubrich, Kirstin. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2022-34.

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2021Machine-Learning-Based Condition Assessment of Gas Turbines—A Review. (2021). Angulo, Cecilio ; Velasco, Manel ; de Castro-Cros, Marti. In: Energies. RePEc:gam:jeners:v:14:y:2021:i:24:p:8468-:d:702954.

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2022.

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2021.

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2022The Effect of Cultural Orientations on Country Innovation Performance: Hofstede Cultural Dimensions Revisited?. (2022). Salas-Paramo, Jairo ; Ramirez, Agustin ; Escandon-Barbosa, Diana. In: Sustainability. RePEc:gam:jsusta:v:14:y:2022:i:10:p:5851-:d:813705.

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2022Contagion in the Banking Industry: a Robust-to-Endogeneity Analysis. (2022). Gnabo, Jean-Yves ; Dossougoin, Cyrille ; Debarsy, Nicolas ; Bereau, Sophie. In: Working Papers. RePEc:hal:wpaper:halshs-03513049.

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2021Dynamic relationship between Stock and Bond returns: A GAS MIDAS copula approach. (2021). Nguyen, Hoang ; Javed, Farrukh. In: Working Papers. RePEc:hhs:oruesi:2021_015.

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2021Real-Time Forecasting and Scenario Analysis Using a Large Mixed-Frequency Bayesian VAR. (2021). Sekhposyan, Tatevik ; Owyang, Michael ; McCracken, Michael W. In: International Journal of Central Banking. RePEc:ijc:ijcjou:y:2021:q:5:a:8.

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2021Evaluation of Urban Competitiveness of the Huaihe River Eco-Economic Belt Based on Dynamic Factor Analysis. (2021). Xie, Qianjiao ; Song, Malin. In: Computational Economics. RePEc:kap:compec:v:58:y:2021:i:3:d:10.1007_s10614-019-09952-5.

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2022The Cross-Shareholding Network and Risk Contagion from Stochastic Shocks: An Investigation Based on China’s Market. (2022). Li, Xin ; Feng, Yun. In: Computational Economics. RePEc:kap:compec:v:59:y:2022:i:1:d:10.1007_s10614-021-10092-y.

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2022Asymmetric Uncertainty: Nowcasting Using Skewness in Real-time Data. (2022). Labonne, Paul. In: Economic Statistics Centre of Excellence (ESCoE) Discussion Papers. RePEc:nsr:escoed:escoe-dp-2022-23.

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2022Hedging Long-Term Liabilities*. (2022). Schotman, Peter ; Quaedvlieg, Rogier. In: The Journal of Financial Econometrics. RePEc:oup:jfinec:v:20:y:2022:i:3:p:505-538..

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2022Spillovers from one country’s sovereign debt to CDS (credit default swap) spreads of others during the European crisis: a spatial approach. (2022). Onder, Ozlem A ; Muradolu, Gulnur Y ; Kila, Gul Huyuguzel. In: Journal of Asset Management. RePEc:pal:assmgt:v:23:y:2022:i:4:d:10.1057_s41260-022-00263-3.

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2022Financial Linkages and Sectoral Business Cycle Synchronization: Evidence from Europe. (2022). Tonzer, Lena ; Schaumburg, Julia ; Bohm, Hannes. In: IMF Economic Review. RePEc:pal:imfecr:v:70:y:2022:i:4:d:10.1057_s41308-022-00173-9.

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2021A Structural Model of Market Friction with Time-Varying Volatility. (2021). Grassi, Stefano ; Buccheri, Giuseppe ; Vocalelli, Giorgio. In: CEIS Research Paper. RePEc:rtv:ceisrp:506.

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2021Money creation, debt, and justice. (2021). Dietsch, Peter. In: Politics, Philosophy & Economics. RePEc:sae:pophec:v:20:y:2021:i:2:p:151-179.

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2022Assessing the Impact of Country-Specific Sovereign Risk on Financial and Banking System in EMU: the Role of Italy. (). Oreste, Napolitano ; Cristiana, Fiorelli ; Marcella, Duva ; Salvatore, Capasso. In: CSEF Working Papers. RePEc:sef:csefwp:654.

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2022A new class of integer-valued GARCH models for time series of bounded counts with extra-binomial variation. (2022). Zhu, Fukang ; Li, QI ; Chen, Huaping. In: AStA Advances in Statistical Analysis. RePEc:spr:alstar:v:106:y:2022:i:2:d:10.1007_s10182-021-00414-8.

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2022On the Gaussian representation of the Riesz probability distribution on symmetric matrices. (2022). Zine, Raoudha ; Ktari, Fatma ; Hassairi, Abdelhamid. In: AStA Advances in Statistical Analysis. RePEc:spr:alstar:v:106:y:2022:i:4:d:10.1007_s10182-022-00436-w.

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2021Clustering of arrivals in queueing systems: autoregressive conditional duration approach. (2021). Hol, Vladimir ; Tomanova, Petra. In: Central European Journal of Operations Research. RePEc:spr:cejnor:v:29:y:2021:i:3:d:10.1007_s10100-021-00744-7.

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2022Constructing banking networks under decreasing costs of link formation. (2022). Paterlini, Sandra ; Craig, Ben ; Maringer, Dietmar. In: Computational Management Science. RePEc:spr:comgts:v:19:y:2022:i:1:d:10.1007_s10287-021-00393-w.

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2021Does cross-shareholding lead to Chinas stock returns comovement? Evidence from a GMM-based spatial AR model. (2021). Li, Xin ; Feng, Yun. In: Empirical Economics. RePEc:spr:empeco:v:61:y:2021:i:6:d:10.1007_s00181-020-02002-2.

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2022Dynamic effects of network exposure on equity markets. (2022). Volkov, Vladimir ; Kangogo, Moses ; Dungey, Mardi. In: Eurasian Economic Review. RePEc:spr:eurase:v:12:y:2022:i:4:d:10.1007_s40822-022-00210-y.

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2022Specification and estimation of a periodic spatial panel autoregressive model. (2022). Gallo, Julie. In: Journal of Spatial Econometrics. RePEc:spr:jospat:v:3:y:2022:i:1:d:10.1007_s43071-022-00028-5.

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2021A new time-varying model for forecasting long-memory series. (2021). Grigoletto, Matteo ; Bisaglia, Luisa. In: Statistical Methods & Applications. RePEc:spr:stmapp:v:30:y:2021:i:1:d:10.1007_s10260-020-00517-7.

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2021Dynamic effects of network exposure on equity markets. (2021). Volkov, Vladimir ; Kangogo, Moses. In: Working Papers. RePEc:tas:wpaper:37326.

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2021COVID-19, Credit Risk and Macro Fundamentals. (2021). Telg, Sean ; Lucas, Andre ; Dubinova, Anna. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20210059.

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2022Robust Observation-Driven Models Using Proximal-Parameter Updates. (2022). van Dijk, Dick ; van Os, Bram ; Lange, Rutger-Jan. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20220066.

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2022Dynamic Partial Correlation Models. (2022). Lange, Rutger-Jan ; Lucas, Andre ; D'Innocenzo, Enzo. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20220070.

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2022Dynamic Mixture Vector Autoregressions with Score-Driven Weights. (2022). Neuenkirch, Matthias ; Umlandt, Dennis ; Gretener, Alexander Georges. In: Working Paper Series. RePEc:trr:qfrawp:202202.

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2022Dynamic Mixture Vector Autoregressions with Score-Driven Weights. (2022). Neuenkirch, Matthias ; Umlandt, Dennis ; Gretener, Alexander Georges. In: Research Papers in Economics. RePEc:trr:wpaper:202202.

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2021Intraday conditional value at risk: A periodic mixed?frequency generalized autoregressive score approach. (2021). Gribisch, Bastian ; Eckernkemper, Tobias. In: Journal of Forecasting. RePEc:wly:jforec:v:40:y:2021:i:5:p:883-910.

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2023Forecasting inflation time series using score?driven dynamic models and combination methods: The case of Brazil. (2023). Lucena, Fernando Antonio ; Dias, Carlos Henrique. In: Journal of Forecasting. RePEc:wly:jforec:v:42:y:2023:i:2:p:369-401.

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2021Generalized autoregressive score model with high?frequency data for optimal futures hedging. (2021). Lai, Yusheng. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:12:p:2023-2045.

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2021Effects of structural changes on the prediction of downside volatility in futures markets. (2021). Lin, Boqiang ; Gong, XU. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:7:p:1124-1153.

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Works by Francisco A. A. Blasques:

YearTitleTypeCited
2016Feasible Invertibility Conditions for Maximum Likelihood Estimation for Observation-Driven Models In: Papers.
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2022Zero-Inflated Autoregressive Conditional Duration Model for Discrete Trade Durations with Excessive Zeros In: Papers.
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2019Zero-Inflated Autoregressive Conditional Duration Model for Discrete Trade Durations with Excessive Zeros.(2019) In: Tinbergen Institute Discussion Papers.
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2015A dynamic network model of the unsecured interbank lending market In: BIS Working Papers.
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2018A dynamic network model of the unsecured interbank lending market.(2018) In: Journal of Economic Dynamics and Control.
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2016A dynamic network model of the unsecured interbank lending market.(2016) In: Working Papers.
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2014TRANSFORMED POLYNOMIALS FOR NONLINEAR AUTOREGRESSIVE MODELS OF THE CONDITIONAL MEAN In: Journal of Time Series Analysis.
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2012Transformed Polynomials for Nonlinear Autoregressive Models of the Conditional Mean.(2012) In: Tinbergen Institute Discussion Papers.
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2017Time-Varying Transition Probabilities for Markov Regime Switching Models In: Journal of Time Series Analysis.
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2014Time Varying Transition Probabilities for Markov Regime Switching Models.(2014) In: Tinbergen Institute Discussion Papers.
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2016Semiparametric score driven volatility models In: Computational Statistics & Data Analysis.
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2016Weighted maximum likelihood for dynamic factor analysis and forecasting with mixed frequency data In: Journal of Econometrics.
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2016Spillover dynamics for systemic risk measurement using spatial financial time series models In: Journal of Econometrics.
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2014Spillover Dynamics for Systemic Risk Measurement using Spatial Financial Time Series Models.(2014) In: Tinbergen Institute Discussion Papers.
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2014Spillover dynamics for systemic risk measurement using spatial financial time series models.(2014) In: VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy.
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2018Penalized indirect inference In: Journal of Econometrics.
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2015Penalized Indirect Inference.(2015) In: Tinbergen Institute Discussion Papers.
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2019Accelerating score-driven time series models In: Journal of Econometrics.
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2021Missing observations in observation-driven time series models In: Journal of Econometrics.
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2018Missing Observations in Observation-Driven Time Series Models.(2018) In: Tinbergen Institute Discussion Papers.
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2016In-sample confidence bands and out-of-sample forecast bands for time-varying parameters in observation-driven models In: International Journal of Forecasting.
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2015In-Sample Confidence Bands and Out-of-Sample Forecast Bands for Time-Varying Parameters in Observation Driven Models.(2015) In: Tinbergen Institute Discussion Papers.
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2016Feasible Invertibility Conditions for Maximum Likelihood Estimation for Observation-Driven Models * In: Working Papers.
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2015Information-theoretic optimality of observation-driven time series models for continuous responses In: Biometrika.
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2018Amendments and Corrections In: Biometrika.
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2018A stochastic recurrence equations approach for score driven correlation models In: Econometric Reviews.
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2020Nonlinear autoregressive models with optimality properties In: Econometric Reviews.
[Full Text][Citation analysis]		article2
2012Stationarity and Ergodicity of Univariate Generalized Autoregressive Score Processes In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]		paper8
2013On the Phase Dependence in Time-Varying Correlations Between Time-Series In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]		paper0
2013Solution-Driven Specification of DSGE Models In: Tinbergen Institute Discussion Papers.
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2013Stationarity and Ergodicity Regions for Score Driven Dynamic Correlation Models In: Tinbergen Institute Discussion Papers.
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2017Maximum Likelihood Estimation for Score-Driven Models In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]		paper19
2014Information Theoretic Optimality of Observation Driven Time Series Models In: Tinbergen Institute Discussion Papers.
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2014Maximum Likelihood Estimation for correctly Specified Generalized Autoregressive Score Models: Feedback Effects, Contraction Conditions and Asymptotic Properties In: Tinbergen Institute Discussion Papers.
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2014Optimal Formulations for Nonlinear Autoregressive Processes In: Tinbergen Institute Discussion Papers.
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2014Low Frequency and Weighted Likelihood Solutions for Mixed Frequency Dynamic Factor Models In: Tinbergen Institute Discussion Papers.
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2015In-Sample Bounds for Time-Varying Parameters of Observation Driven Models In: Tinbergen Institute Discussion Papers.
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2015A Note on “Continuous Invertibility and Stable QML Estimation of the EGARCH(1,1) Model” In: Tinbergen Institute Discussion Papers.
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2016Feasible Invertibility Conditions and Maximum Likelihood Estimation for Observation-Driven Models In: Tinbergen Institute Discussion Papers.
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2017Smooth Transition Spatial Autoregressive Models In: Tinbergen Institute Discussion Papers.
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2017Accelerating GARCH and Score-Driven Models: Optimality, Estimation and Forecasting In: Tinbergen Institute Discussion Papers.
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2017A Stochastic Recurrence Equation Approach to Stationarity and phi-Mixing of a Class of Nonlinear ARCH Models In: Tinbergen Institute Discussion Papers.
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2017Finite Sample Optimality of Score-Driven Volatility Models In: Tinbergen Institute Discussion Papers.
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2018A Time-Varying Parameter Model for Local Explosions In: Tinbergen Institute Discussion Papers.
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2020A New Class of Robust Observation-Driven Models In: Tinbergen Institute Discussion Papers.
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2021Dynamic Factor Models with Clustered Loadings: Forecasting Education Flows using Unemployment Data In: Tinbergen Institute Discussion Papers.
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2021Forecasting in a changing world: from the great recession to the COVID-19 pandemic In: Tinbergen Institute Discussion Papers.
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2021Tail Heterogeneity for Dynamic Covariance-Matrix-Valued Random Variables: the F-Riesz Distribution In: Tinbergen Institute Discussion Papers.
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