Research
Published Articles
"Quasi score-driven models"Journal of Econometrics (forthcoming) 2022
Joint work with Christian Franq and Sebastien Laurent
"Maximum likelihood for Score-Driven Time-Series Models"
Journal of Econometrics (forthcoming) 2021
Joint work with Janneke van Brummelen, Siem Jan Koopman and Andre Lucas
"A Time-Varying Parameter Model for Local Explosions"
Journal of Econometrics (forthcoming) 2021
Joint work with Marc Nientker and Siem Jan Koopman
"Dynamic Factor Models with Clustered Loadings: Forecasting Education Flows"
International Journal of Forecasting (forthcoming) 2021
Joint work with Ilka van de Werve, Siem Jan Koopman and Meindert Hoogerkamp.
"Missing observations in observation-driven time series models"
Journal of Econometrics (forthcoming) 2020
Joint work with Paolo Gorgi and Siem Jan Koopman
"Finite Sample Optimality of Score Driven Models"
Econometrics and Statistics 2020
Joint work with Andre Lucas and Andries Vlodrop
"Nonlinear Autoregressive Models with Optimality Properties"
Econometric Reviews (forthcoming) 2019
Joint work with Siem Jan Koopman and Andre Lucas
"Accelerating Score-Driven Models"
Journal of Econometrics, Volume 212, issue 2. 2019
Joint work with Paolo Gorgi and Siem Jan Koopman
"A Dynamic Stochastic Network Model of the Unsecured Interbank Lending Market"
Journal of Economic Dynamics and Control, Volume 90. 2018
Joint work with Falk Brauning and Iman van Lelyveld
"Feasible Invertibility Conditions and ML Estimation for Observation-Driven Models"
Electronic Journal of Statistics Volume 12, Number 1. (2018)
Joint work with Paolo Gorgi, Siem Jan Koopman and Olivier Wintenberger
"Penalized Indirect Inference"
Journal of Econometrics, Volume 205, issue 1. (2018)
Joint work with Artem Duplinskiy
"Amendments and Corrections: "Information-theoretic optimality of observation-driven time series models for continuous responses" "
Biometrika, Volume 105, Issue 3. (2018)
Joint work Siem Jan Koopman and Andre Lucas.
"A Stochastic Recurrence Equations Approach for Score Driven Correlation Models"
Econometric Reviews, Volume 37, issue 2. (2018)
Joint work with Andre Lucas and Erkki Silde
"Time Varying Transition Probabilites for Markov Regime Switching Models"
Journal of Time Series Analysis, Volume 38, Issue 3. (2017)
Joint work with Marco Bazzi, Siem Jan Koopman and Andre Lucas
"Spillover Dynamics for Systemic Risk Measurement using Spatial Financial Time Series Models"
Journal of Econometrics, Volume 195, Issue 2, Pages 211-223. (2016)
Joint work with Siem Jan Koopman, Andre Lucas and Julia Schaumburg
"Weighted Maximum Likelihood for Dynamic
Factor Analysis and Forecasting with Mixed Frequency Data"
Journal of Econometrics Volume 193, Issue 2, Pages 405-417. (2016)
Joint work with Siem Jan Koopman, Max Mallee and Zhaokun Zhang
"Rejoinder to the discussion "In-Sample Confidence Bands and Out-of-Sample Forecast Bands for Time-Varying Parameters in Observation-Driven Models""
International Journal of Forecasting, Volume 32, issue 3, pages 893-894. (2016)
Joint work with Siem Jan Koopman, Katarzyna Lasak and Andre Lucas
"Semiparametric Score Driven Volatility Models"
Computational Statistics and Data Analysis Volume 100, pages 58-69. (2016)
Joint work with Andre Lucas and Jiangyu Ji
"In-Sample Bounds for Time-Varying Parameters of Observation Driven Models"
International Journal of Forecasting, Volume 32, issue 3, pages 875-887. (2016)
Joint work with Siem Jan Koopman, Katarzyna Lasak and Andre Lucas
"Information Theoretic Optimality of Observation Driven Time Series Models"
Biometrika, 102(2), 325-343. (2015)
Joint work with Andre Lucas and Siem Jan Koopman
"Stationarity and Ergodicity Conditions for Generalized Autoregressive Score Processes"
Electronic Journal of Statistics, 8, 1088-1112. (2014)
Joint work with Andre Lucas and Siem Jan Koopman
"Transformed Polynomials for Nonlinear Autoregressive Models of the Conditional Mean"
Journal of Time-Series Analysis, 35(3), 218-238. (2014)
"Wine Selection: Tasting, Learning and Identification of Favorites"
Enometrica 3(2), 9-14. (2010)
Working Papers
"Common and Idiosyncratic Conditional Volatility Factors: Theory and Empirical Evidence"Tinbergen Institute Discussion Paper. (2021)
Joint work with Enzo Di'nnocenzo and Siem Jan Koopman
"A New Class of Robust Observation-Driven Models"
Tinbergen Institute Discussion Paper. (2020)
Joint work with Christian Francq and Sebastien Laurent
"Transformed Perturbation Solutions for Dynamic Stochastic General Equilibrium Models"
Tinbergen Institute Discussion Paper. (2019)
Joint work with Marc Nientker
"Zero-Inflated Autoregressive Conditional Duration Model for Discrete Trade Durations with Excessive Zeros"
Tinbergen Institute Discussion Paper. (2018)
Joint work with Vladimir Holy and Petra Tomanova
"A Stochastic Recurrence Equation Approach to Stationarity and phi-Mixing of a Class of Nonlinear ARCH Models"
Tinbergen Institute Discussion Paper. (2017)
Joint work with Marc Nientker
"Smooth Transition Spatial Autoregressive Models"
Tinbergen Institute Discussion Paper. (2017)
Joint work with Bo Andree and Eric Koomen
"A Note on Continuous Invertibility and Stable QML Estimation of the EGARCH(1,1) Model"
Tinbergen Institute Discussion Papers 15-131/III. (2015)
Joint work with Paolo Gorgi, Siem Jan Koopman and Olivier Wintenber
"Maximum Likelihood Estimation for Correctly Specified Generalized Autoregressive Score Models:
Feedback Effects Contraction Conditions and Asymptotic Properties"
Tinbergen Institute Discussion Papers 14-046/III. (2014)
Joint work with Siem Jan Koopman and Andre Lucas
"Maximum Likelihood Estimation for Generalized Autoregressive Score Models"
Tinbergen Institute Discussion Papers 14-029/III. (2014)
Joint work with Andre Lucas and Siem Jan Koopman
"On the Phase Dependence in Time-Varying Correlations Between Time-Series"
Tinbergen Institute Discussion Papers 12-059/4. (2013)
Joint work with Andre Lucas and Siem Jan Koopman
"Solution-Driven Specification of DSGE Models"
Tinbergen Institute Discussion Papers 12-059/4. (2013)
"Semi-Nonparametric Indirect Inference"
METEOR Research Memorandum. (2011)
"Identifiable Uniqueness Conditions for a Large Class of Extremum Estimators"
METEOR Research Memorandum. (2010)
"A Note on the Normalization of Variables in Dynamic Stochastic General Equilibrium Models"
METEOR Research Memorandum. (2010)
Joint work with Bertrand Candelon and Jean Pierre Urbain
Published Books
Advanced Econometric MethodsEstimation and Inference for Nonlinear Dynamic Models
A.Publications, (2019)
Amazon.nl     Amazon.de     Amazon.com     Bol.com    
Semi-Nonparametric Indirect Inference
UM Publications; (2011)
Grants and Awards
2019 - 2024 | NWO VIDI research grant for project on Econometric Analysis of Incorrect Models. |
2016 - | Research Fellow of the Tinbergen Institute. |
2012 - 2013 | SWIFT Institute Grant for research on Network Liquidity Effects |
2012 - 2013 | Banco de Portugal Visiting Researcher Grant |
2018 - 2011 | METEOR Doctoral Research Grant |
2007 - 2008 | Research Assistant for Jean Pierre Urbain and Bertrand Candelon |
Invited Speaker:
CREST-Paris, France; UCLA-San Diego, United-States; CFE- Sevilla, Spain; TI-Amsterdam, The Netherlands; Cambridge University, United Kingdom; CU-Cologne, Germany; JAE-London, United Kingdom; METEOR-Maastricht, The Netherlands; IJF-Rotterdam, The Netherlands; SC-Tenerife, Spain; Saarbrucken, Germany; CFE-London, United Kingdom; TI-Amsterdam, The Netherlands; NESG-Rotterdam, The Nether- lands; BdP-Lisbon, Portugal; SBE-Maastricht, The Netherlands.
Numbers
My Erdos number is 5My Gauss number is 8
Francisco Blasques
Professor of Econometricsand Data Science
Vrije Universiteit Amsterdam
Director at Metyis
Metyis Netherlands office
Partner & Co-founder
QuantIQ, datastuff and ACEDA
Research Fellow
Tinbergen Institute