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Recent News

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January 2021

The article "A Time-Varying Parameter Model for Local Explosions" has been accepted for publication in the Journal of Econometrics. Joint work with Siem Jan Koopman and Marc Nientker.


January 2021

A new TI discussion paper entitled "Tail Heterogeneity for Dynamic Covariance-Matrix-Valued Random Variables: the F-Riesz Distribution" is now available! Joint work with Andre Lucas, Anne Opschoor, and Luca Rossini.


January 2021

The manuscript "Dynamic Factor Models with Clustered Loadings: Forecasting Education Flows using Unemployment Data" has been accepted for publication in the International Journal of Forecasting. Joint work with Ilka van de Werve, Siem Jan Koopman and Meindert Hoogerkamp.


December 2020

A new working paper entitled "Forecasting in a changing world: from the great recession to the COVID-19 pandemic" co-authored with Mariia Artemova, Siem Jan Koopman and Zhaokun Zhang is now available as a TI discussion paper!


October 2020

The TI discussion paper "Maximum Likelihood Estimation for Score-Driven Time Series Models" has been updated. Joint work with Janneke van Brummelen, Siem Jan Koopman and Andre Lucas.


September 2020

Georgia Banava and Noah Stegehuis are joining my VIDI project as new doctoral researchers. Welcome!


September 2020

Michael van Baren and Roman Gorlov from PGGM have just started their doctoral research as external part-time PhDs. Welcome!


September 2020

Mariia Artemova has just joined our department as a doctoral researcher under the supervision of myself and prof Siem Jan Koopman. Welcome Mariia!


August 2020

The new econometrics summer workshop at the VU has just started!


August 2020

Just started as editor of the journal Open Economics .


July 2020

The manuscript "Missing observations in observation-driven time series models" has been accepted for publication in the Journal of Econometrics.


June 2020

Just started the 2020 round of meetings with all the TI doctoral researchers of the School of Business and Economics, as part of the doctoral directorship contact meetings. Will be meeting with new PhDs in September. Looking forward to meet you all!


June 2020

A new working paper entitled "A New Class of Robust Observation-Driven Models" co-authored with Christian Francq and Sebastien Laurent is now available!


May 2020

The article "Finite Sample Optimality of Score Driven Models", with Andre Lucas and Andries Vlodrop is now published in the journal Econometrics and Statistics.


April 2020

A new working paper on "Dynamic Factor Models with Clustered Loadings: Forecasting Education Flows using Unemployment Data" is now available! Joint work with Ilka van de Werve, Siem Jan Koopman and Meindert Hoogerkamp.


March 2020

Our doctoral researcher, Meindert Hoogerkamp, has just started additional projects as my research assistant. Thanks Meindert!


March 2020

First round of submissions for themed issue on Time-varying Parameters of the Journal of Econometrics where I'm serving as associate editor with prof Andre Lucas, prof Andrew Harvey and prof Siem Jan Koopman.


March 2020

A pleasure to lecture the first training session of the new course on time-series econometrics directed at professionals and doctoral researchers.


February 2020

Delivering a new in-house data science training program devoted to time-series with Python for data scientists at Rabobank in Utrecht.


January 2020

Now working as doctoral director at SBE, together with the vice-dean of research Hans Berends, on new plans for TI doctoral researchers!


December 2019

Just starting the VIDI project, funded by NWO. Will be hiring doctoral researchers to join the project. Looking forward to the years ahead!


December 2019

My new book "Advanced Econometric Methods" devoted to nonlinear dynamic models is now published and available in stores!


November 2019

Two new executive teaching courses in econometrics and data science have just been announced! I'm happy to be the coordinator and developer of these courses. Even happier that we can count with the help and active participation of great lecturers and TAs including: Hande Karabiyik, Andre Lucas, Siem Jan Koopman, Artem Duplinskiy, Michiel Doornenbal and Matthijs Eigenhuis, among others. Thanks!


November 2019

The article "Nonlinear autoregressive models with optimality properties" has been accepted for publication in Econometric Reviews.


August 2019

For the first time, we delivered the summer course "Econometric Methods for Forecasting and Data Science" at the Tinbergen Institute, and the "Econometrics Summer Workshop" at the VU University Amsterdam (with Siem Jan Koopman).
My photo

Francisco Blasques

Professor of Econometrics
and Data Science

Vrije Universiteit Amsterdam

Director at Metyis
Metyis Netherlands office

Director of Doctoral Research
School of Business and Economics
Vrije Universiteit Amsterdam

Partner and Advisor
Churned (QuantIQ) and ACEDA

Expert Forecaster
World Economic Survey

Research Fellow
Tinbergen Institute

Editorial Board
Open Economics journal

E-mail: f.blasques@vu.nl
Tel: +31 205 985 621
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Address:
Vrije Universiteit Amsterdam
Department of Econometrics and Data Science
De Boelelaan 1105,   NL-1081HV Amsterdam,   The Netherlands