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

215

Citations

RESEARCH PRODUCTION:

11

Articles

31

Papers

RESEARCH ACTIVITY:

   8 years (2012 - 2020). See details.
   Cites by year: 26
   Journals where Francisco A. A. Blasques has often published
   Relations with other researchers
   Recent citing documents: 36.    Total self citations: 23 (9.66 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pbl135
   Updated: 2021-02-20    RAS profile: 2019-04-01    
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Relations with other researchers


Works with:

Koopman, Siem Jan (12)

Lucas, Andre (8)

Wintenberger, Olivier (3)

Bräuning, Falk (2)

Lelyveld, Iman (2)

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 (34)

Koopman, Siem Jan (20)

Catania, Leopoldo (18)

Zhang, Xin (15)

Schwaab, Bernd (14)

Francq, Christian (11)

Petrella, Ivan (9)

Delle Monache, Davide (9)

Laurent, Sébastien (9)

Escribano, Alvaro (7)

Li, Mengheng (7)

Cites to:

Koopman, Siem Jan (99)

Lucas, Andre (92)

Creal, Drew (51)

Engle, Robert (41)

Bollerslev, Tim (29)

Schwaab, Bernd (17)

Wintenberger, Olivier (16)

Shephard, Neil (12)

Harvey, Andrew (11)

Zhang, Xin (11)

Patton, Andrew (9)

Main data


Where Francisco A. A. Blasques has published?


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

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 (2021 and 2020)


YearTitle of citing document
2020Are 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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2020Modelling 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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2020Capturing GDP nowcast uncertainty in real time. (2020). Labonne, Paul. In: Papers. RePEc:arx:papers:2012.02601.

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

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2020Spillover effects in international business cycles. (2020). Perez Quiros, Gabriel ; Pacce, Matías ; Camacho, Maximo ; Perez-Quiros, Gabriel. In: Working Papers. RePEc:bde:wpaper:2034.

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2020Prediction accuracy of bivariate score-driven risk premium and volatility filters: an illustration for the Dow Jones. (2020). Blazsek, Szabolcs ; Licht, Adrian ; Saez, Alvaro Escribano. In: UC3M Working papers. Economics. RePEc:cte:werepe:31339.

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2020Price dividend ratio and long-run stock returns: a score driven state space model. (2020). Petrella, Ivan ; Delle Monache, Davide ; Venditti, Fabrizio. In: Working Paper Series. RePEc:ecb:ecbwps:20202369.

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2020Spillover effects in international business cycles. (2020). Pacce, Matías ; Camacho, Maximo ; Perez-Quiros, Gabriel. In: Working Paper Series. RePEc:ecb:ecbwps:20202484.

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2020Bayesian variable selection in non-homogeneous hidden Markov models through an evolutionary Monte Carlo method. (2020). Spezia, Luigi. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:143:y:2020:i:c:s0167947319301951.

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2020Dynamic interbank network analysis using latent space models. (2020). van der Leij, Marco ; Lazier, Iuri ; Diks, Cees ; Linardi, Fernando. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:112:y:2020:i:c:s0165188919301897.

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2020Industry risk transmission channels and the spillover effects of specific determinants in China’s stock market: A spatial econometrics approach. (2020). Jin, Xiu ; Chen, NA. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940819301986.

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2020Fixed effects spatial panel data models with time-varying spatial dependence. (2020). Qu, XI ; Guo, Juncong. In: Economics Letters. RePEc:eee:ecolet:v:196:y:2020:i:c:s0165176520303220.

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2020Long-term forecasting of El Niño events via dynamic factor simulations. (2020). Li, Mengheng ; Petrova, Desislava ; Lit, Rutger ; Koopman, Siem Jan. In: Journal of Econometrics. RePEc:eee:econom:v:214:y:2020:i:1:p:46-66.

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2020The dynamic factor network model with an application to international trade. (2020). Koopman, Siem Jan ; Brauning, Falk. In: Journal of Econometrics. RePEc:eee:econom:v:216:y:2020:i:2:p:494-515.

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2020The network nature of over-the-counter interest rates. (2020). Rainone, Edoardo. In: Journal of Financial Markets. RePEc:eee:finmar:v:47:y:2020:i:c:s1386418119303556.

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2020Reputational dynamics in financial networks during a crisis. (2020). van der Schaar, Mihaela ; Zhang, Simpson. In: Journal of Financial Stability. RePEc:eee:finsta:v:49:y:2020:i:c:s1572308920300589.

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2020Geostatistical modeling of dependent credit spreads: Estimation of large covariance matrices and imputation of missing data. (2020). Graler, Benedikt ; Scherer, Matthias ; Huttner, Amelie. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:118:y:2020:i:c:s0378426620301631.

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2020What a network measure can tell us about financial interconnectedness and output volatility. (2020). Corbett, Jenny ; Xu, Ying. In: Journal of the Japanese and International Economies. RePEc:eee:jjieco:v:58:y:2020:i:c:s0889158320300423.

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2020Risk endogeneity at the lender/investor-of-last-resort. (2020). Schwaab, Bernd ; Lucas, Andre ; Zhang, Xin ; Caballero, Diego. In: Journal of Monetary Economics. RePEc:eee:moneco:v:116:y:2020:i:c:p:283-297.

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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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2020Specification Tests for Temporal Heterogeneity in Spatial Panel Data Models with Fixed Effects. (2020). Yang, Zhenlin ; Xu, Yuhong. In: Regional Science and Urban Economics. RePEc:eee:regeco:v:81:y:2020:i:c:s0166046219300328.

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2020Estimation of fixed effects spatial dynamic panel data models with small T and unknown heteroskedasticity. (2020). Yang, Zhenlin ; Li, Liyao. In: Regional Science and Urban Economics. RePEc:eee:regeco:v:81:y:2020:i:c:s0166046219301139.

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2020Business Cycle Spatial Synchronization: Measuring a Synchronization Parameter. (2020). Fukui, Shinya. In: Discussion Papers. RePEc:koe:wpaper:2009.

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2020Relationships in the Interbank Market. (). Monnet, Cyril ; Eisenschmidt, Jens ; Chiu, Jonathan. In: Review of Economic Dynamics. RePEc:red:issued:18-238.

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2020Network Risk in the European Sovereign CDS Market. (2020). Todorova, Zornitsa. In: The Review of Finance and Banking. RePEc:rfb:journl:v:12:y:2020:i:2:p:137-154.

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

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2020Transformed Perturbation Solutions for Dynamic Stochastic General Equilibrium Models. (2019). Nientker, Marc ; Blasques, Francisco. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20190012.

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2020Beta observation-driven models with exogenous regressors: a joint analysis of realized correlation and leverage effects. (2020). Koopman, Siem Jan ; Gorgi, Paolo. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20200004.

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2020Financial Linkages and Sectoral Business Cycle Synchronization: Evidence from Europe. (2020). Tonzer, Lena ; Schaumburg, Julia ; Boehm, Hannes. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20200008.

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2020A New Class of Robust Observation-Driven Models. (2020). Francq, Christian ; Blasques, Francisco ; Laurent, Sebastien. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20200073.

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2020Modeling extreme events: time-varying extreme tail shape. (2020). Lucas, Andre ; Schwaab, Bernd ; Zhang, Xin. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20200076.

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2021Forecasting in a changing world: from the great recession to the COVID-19 pandemic. (2021). Koopman, Siem Jan ; Zhang, Zhaokun ; Blasques, Francisco ; Artemova, Mariia. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20210006.

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2020Networks in risk spillovers: A multivariate GARCH perspective. (2020). Pelizzon, Loriana ; Billio, Monica ; Frattarolo, Lorenzo ; Caporin, Massimiliano. In: Working Papers. RePEc:ven:wpaper:2020:16.

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2020Stochastic Modeling of Food Insecurity. (2020). Spencer, Phoebe Girouard ; Chamorro, Andres Fernando ; Johannes, Bo Pieter ; Wang, Dieter. In: Policy Research Working Paper Series. RePEc:wbk:wbrwps:9413.

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2020The devil is in the details, but so is salvation: Different approachesin money market measurement. (2020). Paulick, Jan ; Muller, Alexander. In: Discussion Papers. RePEc:zbw:bubdps:662020.

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2020Financial linkages and sectoral business cycle synchronisation: Evidence from Europe. (2020). Tonzer, Lena ; Schaumburg, Julia ; Bohm, Hannes. In: IWH Discussion Papers. RePEc:zbw:iwhdps:22020.

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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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paper4
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: 4
paper
2020Zero-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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paper36
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: 36
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: 36
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: 36
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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article14
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: 14
paper
2016Semiparametric score driven volatility models In: Computational Statistics & Data Analysis.
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article4
2016Weighted maximum likelihood for dynamic factor analysis and forecasting with mixed frequency data In: Journal of Econometrics.
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article11
2016Spillover dynamics for systemic risk measurement using spatial financial time series models In: Journal of Econometrics.
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article28
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: 28
paper
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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This paper has another version. Agregated cites: 28
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2018Penalized indirect inference In: Journal of Econometrics.
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article2
2015Penalized Indirect Inference.(2015) In: Tinbergen Institute Discussion Papers.
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This paper has another version. Agregated cites: 2
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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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article11
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: 11
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2015Information-theoretic optimality of observation-driven time series models for continuous responses In: Biometrika.
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article38
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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article0
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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paper14
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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paper8
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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paper16
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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paper1

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