Is this page useful for you? Then, help us to keep the service working. Please have a look to our donations page ... Thanks for your help!!

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

98

Citations

RESEARCH PRODUCTION:

7

Articles

27

Papers

RESEARCH ACTIVITY:

   5 years (2012 - 2017). See details.
   Cites by year: 19
   Journals where Francisco A. A. Blasques has often published
   Relations with other researchers
   Recent citing documents: 19.    Total self citations: 18 (15.52 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pbl135
   Updated: 2018-02-17    RAS profile: 2017-12-01    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers


Works with:

Koopman, Siem Jan (18)

Lucas, Andre (16)

Wintenberger, Olivier (4)

Bräuning, Falk (3)

Lelyveld, Iman (3)

Łasak, Katarzyna (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)

Billé, Anna Gloria (6)

Petrella, Ivan (6)

Delle Monache, Davide (6)

Koopman, Siem Jan (5)

Johansen, Soren (4)

Ardia, David (3)

Harvey, Andrew (3)

Cites to:

Koopman, Siem Jan (87)

Lucas, Andre (81)

Creal, Drew (47)

Engle, Robert (38)

Bollerslev, Tim (26)

Schwaab, Bernd (14)

Wintenberger, Olivier (11)

Shephard, Neil (11)

Harvey, Andrew (10)

Zhang, Xin (9)

Patton, Andrew (8)

Main data


Where Francisco A. A. Blasques has published?


Journals with more than one article published# docs
Journal of Time Series Analysis2
Journal of Econometrics2

Working Papers Series with more than one paper published# docs
Tinbergen Institute Discussion Papers / Tinbergen Institute21

Recent works citing Francisco A. A. Blasques (2018 and 2017)


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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2017Pairwise trading in the money market during the European sovereign debt crisis. (2017). Rainone, Edoardo . In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1160_17.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2017Five different distributions for the Lee–Carter model of mortality forecasting: A comparison using GAS models. (2017). Neves, Cesar ; Hoeltgebaum, Henrique ; Fernandes, Cristiano . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:75:y:2017:i:c:p:48-57.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2017An endogenous regime-switching model of ordered choice with an application to federal funds rate target.. (2017). Sirchenko, Andrei. In: 2017 Papers. RePEc:jmp:jm2017:psi424.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2017The missing links: A global study on uncovering financial network structures from partial data. (2017). Banai, Adam ; Rajan, Sriram ; Nobili, Stefano ; Molina-Borboa, Jose Luis ; Lee, Hwayun ; Jaramillo, Serafin Martinez ; Hansen, IB ; Jose, Grzegorz Haajauthor-Name ; Stancato, Sergio Rubens ; Garratt, Rodney ; Silvestri, Laura ; Friedrich, Soeren ; Silva, Thiago Christiano ; van Lelyveldauthor-Name, Iman ; Salakhova, Dilyara ; Anand, Kartik. In: ESRB Working Paper Series. RePEc:srk:srkwps:201751.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2017Dynamic Interbank Network Analysis Using Latent Space Models. (2017). van der Leij, Marco ; Lazier, Iuri ; Diks, Cees ; Linardi, Fernando. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20170101.

Full description at Econpapers || Download paper

2017A Justification of Conditional Confidence Intervals. (2017). Smeekes, Stephan ; Heinemann, Alexander ; Beutner, Eric. In: Research Memorandum. RePEc:unm:umagsb:2017023.

Full description at Econpapers || Download paper

2017Bargaining power and outside options in the interbank lending market. (2017). Bräuning, Falk ; Schulze, Niels ; Brauning, Falk ; Abbassi, Puriya. In: Discussion Papers. RePEc:zbw:bubdps:312017.

Full description at Econpapers || Download paper

2017The gender gap in intergenerational mobility: Evidence of educational persistence in Brazil. (2017). Leone, Tharcisio. In: Discussion Papers. RePEc:zbw:fubsbe:201727.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

Works by Francisco A. A. Blasques:


YearTitleTypeCited
2016Feasible Invertibility Conditions for Maximum Likelihood Estimation for Observation-Driven Models In: Papers.
[Full Text][Citation analysis]
paper0
2016Feasible Invertibility Conditions for Maximum Likelihood Estimation for Observation-Driven Models *.(2016) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
paper
2015A dynamic network model of the unsecured interbank lending market In: BIS Working Papers.
[Full Text][Citation analysis]
paper18
2015A dynamic network model of the unsecured interbank lending market.(2015) In: DNB Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 18
paper
2016A dynamic network model of the unsecured interbank lending market.(2016) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 18
paper
2014TRANSFORMED POLYNOMIALS FOR NONLINEAR AUTOREGRESSIVE MODELS OF THE CONDITIONAL MEAN In: Journal of Time Series Analysis.
[Full Text][Citation analysis]
article0
2012Transformed Polynomials for Nonlinear Autoregressive Models of the Conditional Mean.(2012) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
paper
2017Time-Varying Transition Probabilities for Markov Regime Switching Models In: Journal of Time Series Analysis.
[Full Text][Citation analysis]
article10
2014Time Varying Transition Probabilities for Markov Regime Switching Models.(2014) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 10
paper
2016Semiparametric score driven volatility models In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]
article2
2016Weighted maximum likelihood for dynamic factor analysis and forecasting with mixed frequency data In: Journal of Econometrics.
[Full Text][Citation analysis]
article0
2016Spillover dynamics for systemic risk measurement using spatial financial time series models In: Journal of Econometrics.
[Full Text][Citation analysis]
article9
2014Spillover Dynamics for Systemic Risk Measurement using Spatial Financial Time Series Models.(2014) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 9
paper
2014Spillover dynamics for systemic risk measurement using spatial financial time series models.(2014) In: Annual Conference 2014 (Hamburg): Evidence-based Economic Policy.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 9
paper
2016In-sample confidence bands and out-of-sample forecast bands for time-varying parameters in observation-driven models In: International Journal of Forecasting.
[Full Text][Citation analysis]
article2
2015In-Sample Confidence Bands and Out-of-Sample Forecast Bands for Time-Varying Parameters in Observation Driven Models.(2015) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2
paper
2015Information-theoretic optimality of observation-driven time series models for continuous responses In: Biometrika.
[Full Text][Citation analysis]
article17
2012Stationarity and Ergodicity of Univariate Generalized Autoregressive Score Processes In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
paper6
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.
[Full Text][Citation analysis]
paper0
2013Stationarity and Ergodicity Regions for Score Driven Dynamic Correlation Models In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
paper1
2017Maximum Likelihood Estimation for Score-Driven Models In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
paper13
2014Information Theoretic Optimality of Observation Driven Time Series Models In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
paper10
2014Maximum Likelihood Estimation for correctly Specified Generalized Autoregressive Score Models: Feedback Effects, Contraction Conditions and Asymptotic Properties In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
paper2
2014Optimal Formulations for Nonlinear Autoregressive Processes In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
paper8
2014Low Frequency and Weighted Likelihood Solutions for Mixed Frequency Dynamic Factor Models In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
paper0
2015Penalized Indirect Inference In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
paper0
2015In-Sample Bounds for Time-Varying Parameters of Observation Driven Models In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
paper0
2015A Note on “Continuous Invertibility and Stable QML Estimation of the EGARCH(1,1) Model” In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
paper0
2016Feasible Invertibility Conditions and Maximum Likelihood Estimation for Observation-Driven Models In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
paper0
2017Smooth Transition Spatial Autoregressive Models In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
paper0
2017Accelerating GARCH and Score-Driven Models: Optimality, Estimation and Forecasting In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
paper0
2017A Stochastic Recurrence Equation Approach to Stationarity and phi-Mixing of a Class of Nonlinear ARCH Models In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
paper0
2017Finite Sample Optimality of Score-Driven Volatility Models In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
paper0

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated January, 12 2018. Contact: CitEc Team