Blasques, F., Gorgi, P. and Koopman, S.J. (2020). Missing observations in observation-driven time series models Journal of Econometrics, :.
Francisco Blasques
University
Vrije Universiteit Amsterdam
E-mail
Research field
Econometrics
Interests
Econometrics, Time Series Econometrics
Website
Key publications
Blasques, F., Gorgi, P. and Koopman, S.J. (2019). Accelerating score-driven time series models Journal of Econometrics, 212(2):359--376.
Blasques, F. and Duplinskiy, A. (2018). Penalized indirect inference Journal of Econometrics, 205(1):34--54.
Blasques, F., Koopman, S., Lucas, A. and Schaumburg, J. (2016). Spillover dynamics for systemic risk measurement using spatial financial time series models Journal of Econometrics, 195(2):211--223.
Blasques Albergaria Amaral, F., Koopman, S., Mallee, M. and Zhang, Z. (2016). Weighted Maximum Likelihood for Dynamic Factor Analysis and Forecasting with Mixed Frequency Data Journal of Econometrics, 193(2):405--417.
List of publications
Blasques, F., Koopman, S.J. and Lucas, A. (2020). Nonlinear autoregressive models with optimality properties Econometric Reviews, 39(6):559--578.
Blasques, F., Gorgi, P. and Koopman, S.J. (2020). Missing observations in observation-driven time series models Journal of Econometrics, :.
Blasques, F., Gorgi, P. and Koopman, S.J. (2019). Accelerating score-driven time series models Journal of Econometrics, 212(2):359--376.
Blasques, F. and Duplinskiy, A. (2018). Penalized indirect inference Journal of Econometrics, 205(1):34--54.
Blasques, F., Lucas, A. and Silde, E. (2018). A Stochastic Recurrence Equations Approach for Score Driven Correlation Models Econometric Reviews, 37(2):166--181.
Blasques, F., Bräuning, F. and Lelyveld, I.V. (2018). A dynamic network model of the unsecured interbank lending market Journal of Economic Dynamics and Control, 90:310--342.
Blasques, F., Koopman, S., Lasak, K. and Lucas, A. (2016). 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, 32(3):893--894.
Blasques, F., Koopman, S., Lucas, A. and Schaumburg, J. (2016). Spillover dynamics for systemic risk measurement using spatial financial time series models Journal of Econometrics, 195(2):211--223.
Blasques Albergaria Amaral, F., Koopman, S., Mallee, M. and Zhang, Z. (2016). Weighted Maximum Likelihood for Dynamic Factor Analysis and Forecasting with Mixed Frequency Data Journal of Econometrics, 193(2):405--417.
Blasques, F., Koopman, S., Lasak, K. and Lucas, A. (2016). In-Sample Confidence Bands and Out-of-Sample Forecast Bands for Time-Varying Parameters in Observation Driven Models International Journal of Forecasting, 32(3):875--887.