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Research

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Published Articles


"Maximum likelihood for Score-Driven Time-Series Models" Pdf Small
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" Pdf Small
Journal of Econometrics (forthcoming) 2021
Joint work with Marc Nientker and Siem Jan Koopman

"Dynamic Factor Models with Clustered Loadings: Forecasting Education Flows" Pdf Small
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" Pdf Small
Journal of Econometrics (forthcoming) 2020
Joint work with Paolo Gorgi and Siem Jan Koopman

"Finite Sample Optimality of Score Driven Models" Pdf Small
Econometrics and Statistics 2020
Joint work with Andre Lucas and Andries Vlodrop

"Nonlinear Autoregressive Models with Optimality Properties" Pdf Small
Econometric Reviews (forthcoming) 2019
Joint work with Siem Jan Koopman and Andre Lucas

"Accelerating Score-Driven Models" Pdf Small
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" Pdf Small
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" Pdf Small
Electronic Journal of Statistics Volume 12, Number 1. (2018)
Joint work with Paolo Gorgi, Siem Jan Koopman and Olivier Wintenberger

"Penalized Indirect Inference" Pdf Small
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" Pdf Small
Econometric Reviews, Volume 37, issue 2. (2018)
Joint work with Andre Lucas and Erkki Silde

"Time Varying Transition Probabilites for Markov Regime Switching Models" Pdf Small
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" Pdf Small
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"
Pdf Small
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"" Pdf Small
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" Pdf Small
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" Pdf Small
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" Pdf Small
Biometrika, 102(2), 325-343. (2015)
Joint work with Andre Lucas and Siem Jan Koopman

"Stationarity and Ergodicity Conditions for Generalized Autoregressive Score Processes" Pdf Small
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" Pdf Small
Journal of Time-Series Analysis, 35(3), 218-238. (2014)

"Wine Selection: Tasting, Learning and Identification of Favorites" Pdf Small
Enometrica 3(2), 9-14. (2010)



Working Papers

"Common and Idiosyncratic Conditional Volatility Factors: Theory and Empirical Evidence" Pdf Small
Tinbergen Institute Discussion Paper. (2021)
Joint work with Enzo Di'nnocenzo and Siem Jan Koopman

"A New Class of Robust Observation-Driven Models" Pdf Small
Tinbergen Institute Discussion Paper. (2020)
Joint work with Christian Francq and Sebastien Laurent

"Transformed Perturbation Solutions for Dynamic Stochastic General Equilibrium Models" Pdf Small
Tinbergen Institute Discussion Paper. (2019)
Joint work with Marc Nientker

"Zero-Inflated Autoregressive Conditional Duration Model for Discrete Trade Durations with Excessive Zeros" Pdf Small
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" Pdf Small
Tinbergen Institute Discussion Paper. (2017)
Joint work with Marc Nientker

"Smooth Transition Spatial Autoregressive Models" Pdf Small
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" Pdf Small
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"
Pdf Small
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" Pdf Small
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" Pdf Small
Tinbergen Institute Discussion Papers 12-059/4. (2013)
Joint work with Andre Lucas and Siem Jan Koopman

"Solution-Driven Specification of DSGE Models" Pdf Small
Tinbergen Institute Discussion Papers 12-059/4. (2013)

"Semi-Nonparametric Indirect Inference" Pdf Small
METEOR Research Memorandum. (2011)

"Identifiable Uniqueness Conditions for a Large Class of Extremum Estimators" Pdf Small
METEOR Research Memorandum. (2010)

"A Note on the Normalization of Variables in Dynamic Stochastic General Equilibrium Models" Pdf Small
METEOR Research Memorandum. (2010)
Joint work with Bertrand Candelon and Jean Pierre Urbain



Published Books

Advanced Econometric Methods
Estimation and Inference for Nonlinear Dynamic Models
A.Publications, (2019)
Amazon.nl     Amazon.de     Amazon.com     Bol.com    

Semi-Nonparametric Indirect Inference
UM Publications; Pdf Small (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 5

My Gauss number is 8

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