Francisco A. A. Blasques : Citation Profile


Are you Francisco A. A. Blasques?

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

8

H index

7

i10 index

155

Citations

RESEARCH PRODUCTION:

11

Articles

31

Papers

RESEARCH ACTIVITY:

   6 years (2012 - 2018). See details.
   Cites by year: 25
   Journals where Francisco A. A. Blasques has often published
   Relations with other researchers
   Recent citing documents: 45.    Total self citations: 23 (12.92 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pbl135
   Updated: 2019-10-06    RAS profile: 2019-04-01    
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Relations with other researchers


Works with:

Koopman, Siem Jan (23)

Lucas, Andre (17)

Lelyveld, Iman (4)

Bräuning, Falk (4)

Wintenberger, Olivier (4)

Łasak, Katarzyna (3)

Schaumburg, Julia (3)

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 (31)

Catania, Leopoldo (18)

Zhang, Xin (15)

Koopman, Siem Jan (12)

Schwaab, Bernd (9)

darolles, serge (7)

Laurent, Sébastien (7)

Francq, Christian (7)

Billé, Anna Gloria (6)

Delle Monache, Davide (6)

Petrella, Ivan (6)

Cites to:

Koopman, Siem Jan (99)

Lucas, Andre (92)

Creal, Drew (51)

Engle, Robert (41)

Bollerslev, Tim (28)

Schwaab, Bernd (17)

Wintenberger, Olivier (15)

Shephard, Neil (12)

Zhang, Xin (11)

Harvey, Andrew (11)

Patton, Andrew (9)

Main data


Where Francisco A. A. Blasques has published?


Journals with more than one article published# docs
Journal of Econometrics3
Journal of Time Series Analysis2
Biometrika2

Working Papers Series with more than one paper published# docs
Tinbergen Institute Discussion Papers / Tinbergen Institute24
Papers / arXiv.org2

Recent works citing Francisco A. A. Blasques (2019 and 2018)


YearTitle of citing document
2019Memory that Drives! New Insights into Forecasting Performance of Stock Prices from SEMIFARMA-AEGAS Model. (2019). Mishra, Tapas ; DIEBOLT, Claude ; Chikhi, Mohamed. In: Working Papers. RePEc:afc:wpaper:07-19.

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2019A Justification of Conditional Confidence Intervals. (2017). Smeekes, Stephan ; Heinemann, Alexander ; Beutner, Eric. In: Papers. RePEc:arx:papers:1710.00643.

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2019A Score-Driven Conditional Correlation Model for Noisy and Asynchronous Data: an Application to High-Frequency Covariance Dynamics. (2018). Buccheri, Giuseppe ; Lillo, Fabrizio ; Corsi, Fulvio ; Bormetti, Giacomo. In: Papers. RePEc:arx:papers:1803.04894.

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2018A new time-varying model for forecasting long-memory series. (2018). Bisaglia, Luisa ; Grigoletto, Matteo. In: Papers. RePEc:arx:papers:1812.07295.

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2019Risk endogeneity at the lender/investor-of-last-resort. (2019). Lucas, Andre ; Zhang, Xin ; Schwaab, Bernd ; Caballero, Diego. In: BIS Working Papers. RePEc:bis:biswps:766.

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2018Forecasting aggregate claims using score‐driven time series models. (2018). Arozo, Mariana ; Eduardo, . In: Statistica Neerlandica. RePEc:bla:stanee:v:72:y:2018:i:3:p:354-374.

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2018State Space Models with Endogenous Regime Switching. (2018). Tan, Fei ; Chang, Yoosoon ; Maih, Junior. In: Working Papers. RePEc:bny:wpaper:0067.

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2019Score-Driven Models for Realized Volatility. (2019). Palumbo, D ; Harvey, A. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1950.

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2019Modeling directional (circular) time series. (2019). Thiele, S ; Hurn, S ; Harvey, A. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1971.

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2018Seasonality Detection in Small Samples using Score-Driven Nonlinear Multivariate Dynamic Location Models. (2018). Escribano, Alvaro ; Blazsek, Szabolcs ; Saez, Alvaro Escribano ; Licht, Adrian. In: UC3M Working papers. Economics. RePEc:cte:werepe:27483.

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2018Seasonal Quasi-Vector Autoregressive Models with an Application to Crude Oil Production and Economic Activity in the United States and Canada. (2018). Escribano, Alvaro ; Blazsek, Szabolcs ; Saez, Alvaro Escribano ; Licht, Adrian. In: UC3M Working papers. Economics. RePEc:cte:werepe:27484.

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2019Score-driven time series models with dynamic shape : an application to the Standard & Poors 500 index. (2019). Blazsek, Szabolcs ; Ayala, Astrid ; Saez, Alvaro Escribano. In: UC3M Working papers. Economics. RePEc:cte:werepe:28133.

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2019Maximum likelihood estimation of score-driven models with dynamic shape parameters : an application to Monte Carlo value-at-risk. (2019). Blazsek, Szabolcs ; Ayala, Astrid ; Saez, Alvaro Escribano. In: UC3M Working papers. Economics. RePEc:cte:werepe:28638.

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2019Forecasting daily electricity prices with monthly macroeconomic variables. (2019). Rossini, Luca ; Ravazzolo, Francesco ; Foroni, Claudia. In: Working Paper Series. RePEc:ecb:ecbwps:20192250.

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2018Measuring sovereign risk spillovers and assessing the role of transmission channels: A spatial econometrics approach. (2018). Gnabo, Jean-Yves ; Dossougoin, Cyrille ; Debarsy, Nicolas ; Ertur, Cem. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:87:y:2018:i:c:p:21-45.

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2019Geographical spillovers on the relation between risk-taking and market power in the US banking sector. (2019). Pino Saldías, Gabriel ; Rodriguez, Alejandro ; Herrera, Rodrigo. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:47:y:2019:i:c:p:351-364.

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2018DSGE Models with observation-driven time-varying volatility. (2018). Angelini, Giovanni ; Gorgi, Paolo. In: Economics Letters. RePEc:eee:ecolet:v:171:y:2018:i:c:p:169-171.

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2018Asymptotics of Cholesky GARCH models and time-varying conditional betas. (2018). Francq, Christian ; darolles, serge ; Laurent, Sebastien. In: Journal of Econometrics. RePEc:eee:econom:v:204:y:2018:i:2:p:223-247.

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2018The missing links: A global study on uncovering financial network structures from partial data. (2018). Silva, Thiago ; Silvestri, Laura ; Salakhova, Dilyara ; Lelyveld, Iman ; Halaj, Grzegorz ; Garratt, Rodney ; Hansen, IB ; Fique, Jose ; Stancato, Sergio Rubens ; Haaj, Grzegorz ; Friedrich, Soeren ; Banai, Adam ; Rajan, Sriram ; van Lelyveld, Iman ; Nobili, Stefano ; Anand, Kartik ; Molina-Borboa, Jose Luis ; Lee, Hwayun ; Jaramillo, Serafin Martinez. In: Journal of Financial Stability. RePEc:eee:finsta:v:35:y:2018:i:c:p:107-119.

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Persistent liquidity shocks and interbank funding. (2018). Bluhm, Marcel . In: Journal of Financial Stability. RePEc:eee:finsta:v:36:y:2018:i:c:p:246-262.

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2018Forecasting risk with Markov-switching GARCH models:A large-scale performance study. (2018). Ardia, David ; Catania, Leopoldo ; Boudt, Kris ; Bluteau, Keven. In: International Journal of Forecasting. RePEc:eee:intfor:v:34:y:2018:i:4:p:733-747.

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2018Using low frequency information for predicting high frequency variables. (2018). Marcellino, Massimiliano ; Guérin, Pierre ; Foroni, Claudia. In: International Journal of Forecasting. RePEc:eee:intfor:v:34:y:2018:i:4:p:774-787.

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2019Forecasting football match results in national league competitions using score-driven time series models. (2019). Lit, Rutger ; Koopman, Siem Jan. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:2:p:797-809.

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2019Behavioural New Keynesian models. (2019). Levine, Paul ; Calvert Jump, Robert. In: Journal of Macroeconomics. RePEc:eee:jmacro:v:59:y:2019:i:c:p:59-77.

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2019Sparse inference of the drift of a high-dimensional Ornstein–Uhlenbeck process. (2019). GaIffas, Stephane ; Matulewicz, Gustaw . In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:169:y:2019:i:c:p:1-20.

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2018Interbank lending, network structure and default risk contagion. (2018). Zhang, Minghui ; Li, Shouwei ; He, Jianmin. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:493:y:2018:i:c:p:203-209.

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2018Editorial for the special issue entitled: New advances in spatial econometrics: Interactions matter. (2018). Debarsy, Nicolas ; Yang, Zhenlin. In: Regional Science and Urban Economics. RePEc:eee:regeco:v:72:y:2018:i:c:p:1-5.

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2018Financial Risk Measurement and Prediction Modelling for Sustainable Development of Business Entities Using Regression Analysis. (2018). Valaskova, Katarina ; Adamko, Peter ; Svabova, Lucia ; Kliestik, Tomas. In: Sustainability. RePEc:gam:jsusta:v:10:y:2018:i:7:p:2144-:d:154028.

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2018Asymptotics of Cholesky GARCH models and time-varying conditional betas. (2018). Laurent, Sébastien ; Francq, Christian ; darolles, serge. In: Post-Print. RePEc:hal:journl:hal-01980815.

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2018Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas. (2018). Francq, Christian ; darolles, serge ; Laurent, Sebastien. In: Working Papers. RePEc:hal:wpaper:halshs-01944656.

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2018Reputational Dynamics in Financial Networks During a Crisis. (2018). Zhang, Simpson ; van der Schaar, Mihaela . In: Working Papers. RePEc:ofr:wpaper:18-03.

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2018Asymptotics of Cholesky GARCH models and time-varying conditional betas. (2018). Laurent, Sébastien ; Francq, Christian ; darolles, serge. In: MPRA Paper. RePEc:pra:mprapa:83988.

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2019Human Development Over Time: An Empirical Comparison of a Dynamic Index and the Standard HDI. (2019). Zirogiannis, Nikolaos ; Fledderman, Kathryn ; Tripodis, Yorghos ; Krutilla, Kerry. In: Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement. RePEc:spr:soinre:v:142:y:2019:i:2:d:10.1007_s11205-018-1926-z.

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2018Dynamic factor analysis for short panels: estimating performance trajectories for water utilities. (2018). Zirogiannis, Nikolaos ; Tripodis, Yorghos. In: Statistical Methods & Applications. RePEc:spr:stmapp:v:27:y:2018:i:1:d:10.1007_s10260-017-0394-y.

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2018Generalized Autoregressive Method of Moments. (2018). Lucas, Andre ; Koopman, Siem Jan ; Creal, Drew ; Zamojski, Marcin . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20150138.

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2018The analysis and forecasting of ATP tennis matches using a high-dimensional dynamic model. (2018). Koopman, Siem Jan ; Lit, R ; Gorgi, P. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20180009.

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2018Forecasting economic time series using score-driven dynamic models with mixed-data sampling. (2018). Li, Mengheng ; Koopman, Siem Jan ; Gorgi, Paolo. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20180026.

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2018DSGE Models with Observation-Driven Time-Varying parameters. (2018). Angelini, Giovanni ; Gorgi, Paolo. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20180030.

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2019Time-varying tail behavior for realized kernels. (2019). Lucas, Andre ; Opschoor, Anne. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20190051.

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2019Observation-driven Models for Realized Variances and Overnight Returns. (2019). Lucas, Andre ; Opschoor, Anne. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20190052.

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2019Memory that Drives! New Insights into Forecasting Performance of Stock Prices from SEMIFARMA-AEGAS Model.. (2019). DIEBOLT, Claude ; Chikhi, Mohamed ; Mishra, Tapas. In: Working Papers of BETA. RePEc:ulp:sbbeta:2019-24.

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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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paper3
2016Feasible Invertibility Conditions for Maximum Likelihood Estimation for Observation-Driven Models *.(2016) In: Working Papers.
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This paper has another version. Agregated cites: 3
paper
2018Zero-Inflated Autoregressive Conditional Duration Model for Discrete Trade Durations with Excessive Zeros In: Papers.
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paper0
2019Zero-Inflated Autoregressive Conditional Duration Model for Discrete Trade Durations with Excessive Zeros.(2019) In: Tinbergen Institute Discussion Papers.
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This paper has another version. Agregated cites: 0
paper
2015A dynamic network model of the unsecured interbank lending market In: BIS Working Papers.
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paper27
2015A dynamic network model of the unsecured interbank lending market.(2015) In: DNB Working Papers.
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This paper has another version. Agregated cites: 27
paper
2018A dynamic network model of the unsecured interbank lending market.(2018) In: Journal of Economic Dynamics and Control.
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This paper has another version. Agregated cites: 27
article
2016A dynamic network model of the unsecured interbank lending market.(2016) In: Working Papers.
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This paper has another version. Agregated cites: 27
paper
2014TRANSFORMED POLYNOMIALS FOR NONLINEAR AUTOREGRESSIVE MODELS OF THE CONDITIONAL MEAN In: Journal of Time Series Analysis.
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article1
2012Transformed Polynomials for Nonlinear Autoregressive Models of the Conditional Mean.(2012) In: Tinbergen Institute Discussion Papers.
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This paper has another version. Agregated cites: 1
paper
2017Time-Varying Transition Probabilities for Markov Regime Switching Models In: Journal of Time Series Analysis.
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article11
2014Time Varying Transition Probabilities for Markov Regime Switching Models.(2014) In: Tinbergen Institute Discussion Papers.
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This paper has another version. Agregated cites: 11
paper
2016Semiparametric score driven volatility models In: Computational Statistics & Data Analysis.
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article3
2016Weighted maximum likelihood for dynamic factor analysis and forecasting with mixed frequency data In: Journal of Econometrics.
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article5
2016Spillover dynamics for systemic risk measurement using spatial financial time series models In: Journal of Econometrics.
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article15
2014Spillover Dynamics for Systemic Risk Measurement using Spatial Financial Time Series Models.(2014) In: Tinbergen Institute Discussion Papers.
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This paper has another version. Agregated cites: 15
paper
2014Spillover dynamics for systemic risk measurement using spatial financial time series models.(2014) In: Annual Conference 2014 (Hamburg): Evidence-based Economic Policy.
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This paper has another version. Agregated cites: 15
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2018Penalized indirect inference In: Journal of Econometrics.
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article1
2015Penalized Indirect Inference.(2015) In: Tinbergen Institute Discussion Papers.
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This paper has another version. Agregated cites: 1
paper
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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article8
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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This paper has another version. Agregated cites: 8
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2015Information-theoretic optimality of observation-driven time series models for continuous responses In: Biometrika.
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article28
2018Amendments and Corrections In: Biometrika.
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article0
2018A stochastic recurrence equations approach for score driven correlation models In: Econometric Reviews.
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2012Stationarity and Ergodicity of Univariate Generalized Autoregressive Score Processes In: Tinbergen Institute Discussion Papers.
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paper6
2013On the Phase Dependence in Time-Varying Correlations Between Time-Series In: Tinbergen Institute Discussion Papers.
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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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paper1
2017Maximum Likelihood Estimation for Score-Driven Models In: Tinbergen Institute Discussion Papers.
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paper13
2014Information Theoretic Optimality of Observation Driven Time Series Models In: Tinbergen Institute Discussion Papers.
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paper10
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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paper4
2014Optimal Formulations for Nonlinear Autoregressive Processes In: Tinbergen Institute Discussion Papers.
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paper8
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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paper11
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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2018Missing Observations in Observation-Driven Time Series 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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