Francisco A. A. Blasques : Citation Profile

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

10

H index

10

i10 index

457

Citations

RESEARCH PRODUCTION:

14

Articles

34

Papers

RESEARCH ACTIVITY:

   12 years (2012 - 2024). See details.
   Cites by year: 38
   Journals where Francisco A. A. Blasques has often published
   Relations with other researchers
   Recent citing documents: 54.    Total self citations: 27 (5.58 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pbl135
   Updated: 2025-04-12    RAS profile: 2021-04-08    
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Relations with other researchers

Works with:

Koopman, Siem Jan (4)

Lucas, Andre (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 (61)

Koopman, Siem Jan (32)

Francq, Christian (20)

Catania, Leopoldo (19)

Blazsek, Szabolcs (17)

Schwaab, Bernd (17)

Zhang, Xin (16)

Escribano, Alvaro (16)

Laurent, Sébastien (15)

darolles, serge (12)

Lange, Rutger-Jan (12)

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 (19)

Patton, Andrew (17)

Delle Monache, Davide (16)

Petrella, Ivan (16)

Main data

Production by document typearticlepaper20122013201420152016201720182019202020212022202320240510Documents Highcharts.comExport to raster or vector imagePrint the chart
Cumulative documents published20122013201420152016201720182019202020212022202320240204060Documents Highcharts.comExport to raster or vector imagePrint the chart

Citations received201220132014201520162017201820192020202120222023202420250255075Citations Highcharts.comExport to raster or vector imagePrint the chart
Citations by production year2012201320142015201620172018201920202021202220232024050100150200Citations Highcharts.comExport to raster or vector imagePrint the chart

H-Index: 10Most cited documents123456789101112050100Number of citations Highcharts.comExport to raster or vector imagePrint the chart
H-Index evolution201308201309201310201311201312201401201402201403201404201405201406201407201408201409201410201411201412201501201502201503201504201505201506201507201508201509201510201511201512201601201602201603201604201605201606201607201608201609201610201611201612201701201702201703201704201705201706201707201708201709201710201711201712201801201802201803201804201805201806201807201808201809201810201811201812201901201902201903201904201905201906201907201908201909201910201911201912202001202002202003202004202005202006202007202008202009202010202011202012202101202102202103202104202105202106202107202108202109202110202111202112202201202202202203202204202205202206202207202208202209202210202211202212202301202302202303202304202305202306202307202308202309202310202311202312202401202402202403202404202405202406202407202408202409202410202411202412202501202502202503202504051015h-index Highcharts.comExport to raster or vector imagePrint the chart

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 (2025 and 2024)

Year  ↓Title of citing document  ↓
2024Capturing GDP nowcast uncertainty in real time. (2020). Labonne, Paul. In: Papers. RePEc:arx:papers:2012.02601.

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2025Option Pricing with Time-Varying Volatility Risk Aversion. (2022). Tong, Chen ; Hansen, Peter Reinhard. In: Papers. RePEc:arx:papers:2204.06943.

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2024Reservoir 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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2024An 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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2024Online Learning of Order Flow and Market Impact with Bayesian Change-Point Detection Methods. (2023). Mazzarisi, Piero ; Lillo, Fabrizio ; Tsaknaki, Ioanna-Yvonni. In: Papers. RePEc:arx:papers:2307.02375.

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2025Statistical Validation of Contagion Centrality in Financial Networks. (2024). Feinstein, Zachary ; Sadeghi, Agathe. In: Papers. RePEc:arx:papers:2404.14337.

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2024Asymptotic Properties of the Maximum Likelihood Estimator for Markov-switching Observation-driven Models. (2024). Krabbe, Frederik. In: Papers. RePEc:arx:papers:2412.19555.

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2024Future directions in nowcasting economic activity: A systematic literature review. (2024). Bruneckiene, Jurgita ; Pilinkiene, Vaida ; Stundziene, Alina ; Pekarskiene, Irena ; Lukauskas, Mantas ; Grybauskas, Andrius. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:38:y:2024:i:4:p:1199-1233.

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2025The taming of the skew: asymmetric inflation risk and monetary policy. (2025). Petrella, Ivan ; Melosi, Leonardo ; de Polis, Andrea. In: Working Paper Series. RePEc:ecb:ecbwps:20253028.

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2024The determinants of systemic risk contagion. (2024). Erden, Lutfi ; Ozkan, Brahim ; Atasoy, Burak Sencer. In: Economic Modelling. RePEc:eee:ecmode:v:130:y:2024:i:c:s026499932300408x.

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2024Maximum Likelihood Estimation for Non-Stationary Location Models with Mixture of Normal Distributions. (2024). van Brummelen, Janneke ; Koopman, Siem Jan ; Blasques, Francisco ; Gorgi, Paolo. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:1:s0304407623002919.

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2024Autoregressive conditional betas. (2024). Laurent, Sébastien ; Francq, Christian ; Blasques, F. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:2:s0304407623003469.

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2024Observation-driven filtering of time-varying parameters using moment conditions. (2024). Lucas, Andre ; Koopman, Siem Jan ; Creal, Drew ; Zamojski, Marcin. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:2:s0304407623003512.

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2024Modelling circular time series. (2024). Palumbo, Dario ; Hurn, Stan ; Harvey, Andrew ; Thiele, Stephen. In: Journal of Econometrics. RePEc:eee:econom:v:239:y:2024:i:1:s0304407623001446.

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2024Markov-Switching Models with State-Dependent Time-Varying Transition Probabilities. (2024). Sola, Martin ; Psaradakis, Zacharias. In: Econometrics and Statistics. RePEc:eee:ecosta:v:29:y:2024:i:c:p:49-63.

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2024An adaptive long memory conditional correlation model. (2024). Dark, Jonathan. In: Journal of Empirical Finance. RePEc:eee:empfin:v:75:y:2024:i:c:s0927539823001305.

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2024Chinas futures market volatility and sectoral stock market volatility prediction. (2024). Zhong, Juandan ; Zhang, Jixiang ; Zeng, Qing. In: Energy Economics. RePEc:eee:eneeco:v:132:y:2024:i:c:s0140988324001373.

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2024Assessing resilience to systemic risks across interbank credit networks using linkage-leverage analysis: Evidence from Japan. (2024). Wang, Haibo. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924002722.

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2024Temporal networks and financial contagion. (2024). Nocciola, Luca ; Vouldis, Angelos ; Franch, Fabio. In: Journal of Financial Stability. RePEc:eee:finsta:v:71:y:2024:i:c:s1572308924000093.

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2024Unveiling interconnectedness and risk spillover among cryptocurrencies and other asset classes. (2024). Kumar, Dilip ; Narayan, Shivani. In: Global Finance Journal. RePEc:eee:glofin:v:62:y:2024:i:c:s1044028324000905.

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2024International stock market volatility: A global tail risk sight. (2024). Zhu, BO ; Zhong, Juandan ; Zeng, Qing ; Lu, Xinjie. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:91:y:2024:i:c:s1042443123001725.

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2024Asian stock market volatility and economic policy uncertainty: The role of world and regional leaders. (2024). Keddad, Benjamin. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:91:y:2024:i:c:s1042443123001968.

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2024Accelerating peak dating in a dynamic factor Markov-switching model. (2024). van Dijk, Dick ; van Os, Bram. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:1:p:313-323.

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2025Does Investor Sentiment Influence South African ETF Flows During Different Market Conditions?. (2025). Ferreira-Schenk, Sune ; Shenjere, Paidamoyo Aurleen ; Moodley, Fabian. In: Economies. RePEc:gam:jecomi:v:13:y:2025:i:1:p:10-:d:1561416.

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2024An Estimation of Regime Switching Models with Nonlinear Endogenous Switching. (2024). Charoensom, Chotipong. In: PIER Discussion Papers. RePEc:pui:dpaper:217.

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2024Testing the correct specification of a system of spatial dependence models for stock returns. (2024). Wied, Dominik ; Kutzker, Tim. In: Empirical Economics. RePEc:spr:empeco:v:66:y:2024:i:5:d:10.1007_s00181-023-02518-3.

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2024Robust 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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2024Observation-Driven filters for Time-Series with Stochastic Trends and Mixed Causal Non-Causal Dynamics. (2023). Koopman, Siem Jan ; Mingoli, Gabriele ; Blasques, Francisco. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20230065.

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2024Robust Multivariate Observation-Driven Filtering for a Common Stochastic Trend: Theory and Application. (2024). van Brummelen, Janneke ; Koopman, Siem Jan ; Gorgi, Paolo ; Blasques, Francisco. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20240062.

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2024Modeling Common Bubbles: A Mixed Causal Non-Causal Dynamic Factor Model. (2024). Mingoli, Gabriele. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20240072.

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2024Dynamic kernel models. (2024). Vallarino, Pierluigi. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20240082.

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Works by Francisco A. A. Blasques:

Year  ↓Title  ↓Type  ↓Cited  ↓
2016Feasible Invertibility Conditions for Maximum Likelihood Estimation for Observation-Driven Models In: Papers.
[Full Text][Citation analysis]		paper8
2024Zero-Inflated Autoregressive Conditional Duration Model for Discrete Trade Durations with Excessive Zeros In: Papers.
[Full Text][Citation analysis]		paper1
2019Zero-Inflated Autoregressive Conditional Duration Model for Discrete Trade Durations with Excessive Zeros.(2019) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		paper
2015A dynamic network model of the unsecured interbank lending market In: BIS Working Papers.
[Full Text][Citation analysis]		paper50
2018A dynamic network model of the unsecured interbank lending market.(2018) In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 50		article
2016A dynamic network model of the unsecured interbank lending market.(2016) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 50		paper
2014TRANSFORMED POLYNOMIALS FOR NONLINEAR AUTOREGRESSIVE MODELS OF THE CONDITIONAL MEAN In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article1
2012Transformed Polynomials for Nonlinear Autoregressive Models of the Conditional Mean.(2012) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		paper
2017Time-Varying Transition Probabilities for Markov Regime Switching Models In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article48
2014Time Varying Transition Probabilities for Markov Regime Switching Models.(2014) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 48		paper
2016Semiparametric score driven volatility models In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article6
2016Weighted maximum likelihood for dynamic factor analysis and forecasting with mixed frequency data In: Journal of Econometrics.
[Full Text][Citation analysis]		article23
2016Spillover dynamics for systemic risk measurement using spatial financial time series models In: Journal of Econometrics.
[Full Text][Citation analysis]		article78
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 nother version. Agregated cites: 78		paper
2014Spillover dynamics for systemic risk measurement using spatial financial time series models.(2014) In: VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 78		paper
2018Penalized indirect inference In: Journal of Econometrics.
[Full Text][Citation analysis]		article3
2015Penalized Indirect Inference.(2015) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 3		paper
2019Accelerating score-driven time series models In: Journal of Econometrics.
[Full Text][Citation analysis]		article8
2021Missing observations in observation-driven time series models In: Journal of Econometrics.
[Full Text][Citation analysis]		article2
2018Missing Observations in Observation-Driven Time Series Models.(2018) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		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]		article21
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 nother version. Agregated cites: 21		paper
2016Feasible Invertibility Conditions for Maximum Likelihood Estimation for Observation-Driven Models * In: Working Papers.
[Full Text][Citation analysis]		paper5
2015Information-theoretic optimality of observation-driven time series models for continuous responses In: Biometrika.
[Full Text][Citation analysis]		article87
2018Amendments and Corrections In: Biometrika.
[Full Text][Citation analysis]		article0
2018A stochastic recurrence equations approach for score driven correlation models In: Econometric Reviews.
[Full Text][Citation analysis]		article6
2020Nonlinear autoregressive models with optimality properties In: Econometric Reviews.
[Full Text][Citation analysis]		article3
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.
[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]		paper38
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]		paper8
2014Optimal Formulations for Nonlinear Autoregressive Processes In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]		paper12
2014Low Frequency and Weighted Likelihood Solutions for Mixed Frequency Dynamic Factor Models 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]		paper17
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]		paper1
2017Finite Sample Optimality of Score-Driven Volatility Models In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]		paper2
2018A Time-Varying Parameter Model for Local Explosions In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]		paper4
2020A New Class of Robust Observation-Driven Models In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]		paper2
2021Dynamic Factor Models with Clustered Loadings: Forecasting Education Flows using Unemployment Data In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]		paper1
2021Forecasting in a changing world: from the great recession to the COVID-19 pandemic In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]		paper1
2023Tail Heterogeneity for Dynamic Covariance Matrices: the F-Riesz Distribution In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]		paper2

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