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Home | People | Francisco Blasques Albergaria Amaral
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Francisco Blasques Albergaria Amaral

Research Fellow

University
Vrije Universiteit Amsterdam
Researchgroup
Econometrics
Interests
econometrics, time series econometrics

List of publications

Francisco Blasques and Artem Duplinskiy. 2018. Penalized indirect inference. Journal of Econometrics, 205, 34--54, 0304-4076

F. Blasques and A. Lucas and E. Silde. 2018. A Stochastic Recurrence Equations Approach for Score Driven Correlation Models. Econometric Reviews, 37, 166--181, 0747-4938

F. Blasques and S.J. Koopman and A. Lucas and J. Schaumburg. 2016. Spillover dynamics for systemic risk measurement using spatial financial time series models. Journal of Econometrics, 195, 211--223, 0304-4076

Blasques Albergaria Amaral, F. and S.J. Koopman and M.I.P. Mallee and Z. Zhang. 2016. Weighted Maximum Likelihood for Dynamic Factor Analysis and Forecasting with Mixed Frequency Data. Journal of Econometrics, 193, 405--417, 0304-4076

F. Blasques and S.J. Koopman and K.A. Lasak and A. Lucas. 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, 893--894, 0169-2070

F. Blasques and S.J. Koopman and K.A. Lasak and A. Lucas. 2016. In-Sample Confidence Bands and Out-of-Sample Forecast Bands for Time-Varying Parameters in Observation Driven Models. International Journal of Forecasting, 32, 875--887, 0169-2070