Francisco A. A. Blasques : Citation Profile


Are you Francisco A. A. Blasques?

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

7

H index

5

i10 index

91

Citations

RESEARCH PRODUCTION:

6

Articles

23

Papers

RESEARCH ACTIVITY:

   4 years (2012 - 2016). See details.
   Cites by year: 22
   Journals where Francisco A. A. Blasques has often published
   Relations with other researchers
   Recent citing documents: 41.    Total self citations: 14 (13.33 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pbl135
   Updated: 2017-09-23    RAS profile: 2017-07-23    
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Relations with other researchers


Works with:

Koopman, Siem Jan (19)

Lucas, Andre (15)

Wintenberger, Olivier (4)

Lelyveld, Iman (3)

Łasak, Katarzyna (3)

Bräuning, Falk (3)

Schaumburg, Julia (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 (26)

Catania, Leopoldo (18)

Zhang, Xin (13)

Schwaab, Bernd (9)

Delle Monache, Davide (6)

Petrella, Ivan (6)

Billé, Anna Gloria (6)

Koopman, Siem Jan (5)

Johansen, Soren (4)

Ardia, David (3)

Harvey, Andrew (3)

Cites to:

Koopman, Siem Jan (72)

Lucas, Andre (66)

Creal, Drew (37)

Engle, Robert (33)

Bollerslev, Tim (19)

Wintenberger, Olivier (11)

Schwaab, Bernd (11)

Shephard, Neil (11)

Rahbek, Anders (8)

Harvey, Andrew (8)

Zhang, Xin (8)

Main data


Where Francisco A. A. Blasques has published?


Journals with more than one article published# docs
Journal of Econometrics2

Working Papers Series with more than one paper published# docs
Tinbergen Institute Discussion Papers / Tinbergen Institute17

Recent works citing Francisco A. A. Blasques (2017 and 2016)


YearTitle of citing document
2017The Qualitative Expectations Hypothesis: Model Ambiguity, Consistent Representations of Market Forecasts, and Sentiment. (2017). Tabor, Morten ; Johansen, Soren ; Rahbek, Anders ; Frydman, Roman . In: CREATES Research Papers. RePEc:aah:create:2017-23.

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2016Contagion in Financial Networks. (2016). Glasserman, Paul ; Young, Peyton H. In: Journal of Economic Literature. RePEc:aea:jeclit:v:54:y:2016:i:3:p:779-831.

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2016Switching-GAS Copula Models With Application to Systemic Risk. (2016). Catania, Leopoldo ; Bernardi, Mauro . In: Papers. RePEc:arx:papers:1504.03733.

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

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2016Density Forecasts and the Leverage Effect: Some Evidence from Observation and Parameter-Driven Volatility Models. (2016). Catania, Leopoldo ; Nonejad, Nima . In: Papers. RePEc:arx:papers:1605.00230.

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2016Generalized Autoregressive Score Models in R: The GAS Package. (2016). Catania, Leopoldo ; Ardia, David ; Boudt, Kris . In: Papers. RePEc:arx:papers:1609.02354.

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2016Adaptive models and heavy tails with an application to inflation forecasting. (2016). Petrella, Ivan ; Delle Monache, Davide. In: BCAM Working Papers. RePEc:bbk:bbkcam:1603.

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2016Relationships in the Interbank Market. (2016). Chiu, Jonathan ; Monnet, Cyril . In: Staff Working Papers. RePEc:bca:bocawp:16-33.

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2016Adaptive models and heavy tails. (2016). Petrella, Ivan ; Delle Monache, Davide. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1052_16.

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2016Peer monitoring via loss mutualization. (2016). Palazzo, Francesco. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1088_16.

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2016Time series analysis of volatility in the petroleum pricing markets: the persistence, asymmetry and jumps in the returns series. (2016). YAYA, OLAOLUWA ; Olubusoye, Olusanya E. In: OPEC Energy Review. RePEc:bla:opecrv:v:40:y:2016:i:3:p:235-262.

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2016Adaptive models and heavy tails. (2016). Petrella, Ivan ; Delle Monache, Davide. In: Bank of England working papers. RePEc:boe:boeewp:0577.

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2016Asymptotic Theory for Beta-t-GARCH. (2016). Ito, Ryoko . In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1607.

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2017Parallel Bayesian Inference for High Dimensional Dynamic Factor Copulas. (2017). san Miguel, Pedro Galeano ; Nguyen, Hoang ; Ausin, Maria Concepcion. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:24552.

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2016Network Dependence in the Euro Area Money Market. (2016). Rünstler, Gerhard ; Runstler, Gerhard . In: Working Paper Series. RePEc:ecb:ecbwps:20161887.

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2016Accounting for missing values in score-driven time-varying parameter models. (2016). Lucas, Andre ; Schaumburg, Julia ; Opschoor, Anne . In: Economics Letters. RePEc:eee:ecolet:v:148:y:2016:i:c:p:96-98.

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2017A new approach to model regime switching. (2017). Chang, Yoosoon ; Park, Joon Y ; Choi, Yongok . In: Journal of Econometrics. RePEc:eee:econom:v:196:y:2017:i:1:p:127-143.

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2016Systemic loops and liquidity regulation. (2016). Faia, Ester ; Aldasoro, Iñaki. In: Journal of Financial Stability. RePEc:eee:finsta:v:27:y:2016:i:c:p:1-16.

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2016Score-driven exponentially weighted moving averages and Value-at-Risk forecasting. (2016). Lucas, Andre ; Zhang, Xin . In: International Journal of Forecasting. RePEc:eee:intfor:v:32:y:2016:i:2:p:293-302.

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2017Adaptive models and heavy tails with an application to inflation forecasting. (2017). Petrella, Ivan ; Delle Monache, Davide. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:2:p:482-501.

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2017Efficiency and stability of a financial architecture with too-interconnected-to-fail institutions. (2017). Gofman, Michael . In: Journal of Financial Economics. RePEc:eee:jfinec:v:124:y:2017:i:1:p:113-146.

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2016Is gold an inflation-hedge? Evidence from an interrupted Markov-switching cointegration model. (2016). GUPTA, RANGAN ; Chang, Tsangyao ; Aye, Goodness C. In: Resources Policy. RePEc:eee:jrpoli:v:48:y:2016:i:c:p:77-84.

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2016Contagion in financial networks. (2016). Glasserman, Paul ; Young, Peyton H. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:68681.

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2016Relationship lending in the interbank market and the price of liquidity. (2016). Fecht, Falko ; Bräuning, Falk ; Brauning, Falk . In: Working Papers. RePEc:fip:fedbwp:16-7.

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2016Revisiting the transitional dynamics of business-cycle phases with mixed frequency data. (2016). Bessec, Marie. In: Working Papers. RePEc:hal:wpaper:hal-01358595.

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2017THE QUALITATIVE EXPECTATIONS HYPOTHESIS: MODEL AMBIGUITY, CONSISTENT REPRESENTATIONS OF MARKET FORECASTS, AND SENTIMENT. (2017). Johansen, Soren ; Nyboe, Morten ; Rahbek, Anders ; Frydman, Roman . In: Discussion Papers. RePEc:kud:kuiedp:1710.

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2017Modeling time series with zero observations. (2017). Harvey, Andrew ; Ito, Ryoko . In: Economics Papers. RePEc:nuf:econwp:1701.

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2016Adaptive models and heavy tails with an application to inflation forecasting. (2016). Petrella, Ivan ; Delle Monache, Davide. In: MPRA Paper. RePEc:pra:mprapa:75424.

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2016Dynamic Spatial Autoregressive Models with Autoregressive and Heteroskedastic Disturbances. (2016). Catania, Leopoldo ; Billé, Anna Gloria ; Bille, Anna Gloria . In: CEIS Research Paper. RePEc:rtv:ceisrp:375.

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2016Illiquidity Transmission in a Three-Country Framework: A Conditional Approach. (2016). Uhrig-Homburg, Marliese ; Fiesel, Stefan . In: Schmalenbach Business Review. RePEc:spr:schmbr:v:17:y:2016:i:3:d:10.1007_s41464-016-0016-5.

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2016Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model. (2016). Koopman, Siem Jan ; Hansen, Peter ; Janus, Pawel . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20160061.

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2016Score-Driven Systemic Risk Signaling for European Sovereign Bond Yields and CDS Spreads. (2016). Siegmann, Arjen ; Lucas, Andre ; Lange, Rutger-Jan . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20160064.

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2016Accounting for Missing Values in Score-Driven Time-Varying Parameter Models. (2016). Lucas, Andre ; Schaumburg, Julia ; Opschoor, Anne . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20160067.

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2017Fractional Integration and Fat Tails for Realized Covariance Kernels and Returns. (2017). Lucas, Andre ; Opschoor, Anne . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20160069.

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2017Smooth Transition Spatial Autoregressive Models. (2017). Koomen, Eric ; Pieter, BO ; Blasques, Francisco . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20170050.

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2017Accelerating GARCH and Score-Driven Models: Optimality, Estimation and Forecasting. (2017). Blasques, Francisco F ; Jan, Siem ; Gorgi, Paolo . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20170059.

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2017Forecasting Football Match Results in National League Competitions Using Score-Driven Time Series Models. (2017). Jan, Siem ; Lit, Rutger . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20170062.

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2016Relationships in the interbank market. (2016). Chiu, Jonathan ; Monnet, Cyril . In: Working Paper Series. RePEc:vuw:vuwecf:5210.

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2016Adaptive Models and Heavy Tails with an Application to Inflation Forecasting. (2016). Petrella, Ivan ; Delle Monache, Davide. In: EMF Research Papers. RePEc:wrk:wrkemf:13.

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2017The impact of network connectivity on factor exposures, asset pricing and portfolio diversification. (2017). Pelizzon, Loriana ; Caporin, Massimiliano ; Billio, Monica ; Panzica, Roberto Calogero . In: SAFE Working Paper Series. RePEc:zbw:safewp:166.

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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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2016Feasible Invertibility Conditions for Maximum Likelihood Estimation for Observation-Driven Models *.(2016) In: Working Papers.
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2015A dynamic network model of the unsecured interbank lending market In: BIS Working Papers.
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2015A dynamic network model of the unsecured interbank lending market.(2015) In: DNB Working Papers.
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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: 14
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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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2016Semiparametric score driven volatility models In: Computational Statistics & Data Analysis.
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article2
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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This paper has another version. Agregated cites: 10
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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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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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2015Information-theoretic optimality of observation-driven time series models for continuous responses In: Biometrika.
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2012Stationarity and Ergodicity of Univariate Generalized Autoregressive Score Processes In: Tinbergen Institute Discussion Papers.
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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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2014Maximum Likelihood Estimation for Generalized Autoregressive Score Models In: Tinbergen Institute Discussion Papers.
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2014Information Theoretic Optimality of Observation Driven Time Series Models In: Tinbergen Institute Discussion Papers.
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2014Time Varying Transition Probabilities for Markov Regime Switching 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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2015Penalized Indirect Inference 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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