Francisco Blasques
Vrije Universiteit Amsterdam
H-index: 15
Europe-Netherlands
Top articles of Francisco Blasques
A robust Beveridge–Nelson decomposition using a score-driven approach with an application
Economics Letters
2024/2/6
Autoregressive conditional betas
Journal of Econometrics
2024/1/1
Francisco Blasques
H-Index: 11
Sébastien Laurent
H-Index: 7
Maximum likelihood estimation for non-stationary location models with mixture of normal distributions
Journal of Econometrics
2024/1/1
Time-Varying Parameters in Econometrics: The editor’s foreword
Journal of Econometrics
2023/12/1
Zero-inflated autoregressive conditional duration model for discrete trade durations with excessive zeros
Studies in Nonlinear Dynamics & Econometrics
2023/11/16
Francisco Blasques
H-Index: 11
Vladimír Holý
H-Index: 4
Stochastic properties of nonlinear locally-nonstationary filters
Journal of Econometrics
2023/8/1
Francisco Blasques
H-Index: 11
Quasi score-driven models
Journal of Econometrics
2023/5/1
Francisco Blasques
H-Index: 11
Sébastien Laurent
H-Index: 7
Extremum Monte Carlo filters: Real-time signal extraction via simulation and regression
Available at SSRN 4317955
2023/3/23
Francisco Blasques
H-Index: 11
Siem Jan Koopman
H-Index: 41
Asymmetric Stable Stochastic Volatility Models: Estimation, Filtering, and Forecasting
2023
Francisco Blasques
H-Index: 11
Siem Jan Koopman
H-Index: 41
Observation-Driven filters for Time-Series with Stochastic Trends and Mixed Causal Non-Causal Dynamics
2023
Francisco Blasques
H-Index: 11
Siem Jan Koopman
H-Index: 41
A Multilevel Factor Model for Economic Activity with Observation Driven Dynamic Factors
2023
Francisco Blasques
H-Index: 11
Siem Jan Koopman
H-Index: 41
Does trade integration imply growth in Latin America? Evidence from a dynamic spatial spillover model
2023/2/17
Score-driven models: Methodology and theory
2022/10/19
Francisco Blasques
H-Index: 11
Siem Jan Koopman
H-Index: 41
Score-driven models: Methods and applications
2022/8/15
Francisco Blasques
H-Index: 11
Siem Jan Koopman
H-Index: 41
A time-varying parameter model for local explosions
Journal of Econometrics
2022/3/1
Francisco Blasques
H-Index: 11
Siem Jan Koopman
H-Index: 41
Conditional score residuals and diagnostic analysis of serial dependence in time series models
2021/11/18
Dynamic factor models with clustered loadings: Forecasting education flows using unemployment data
International Journal of Forecasting
2021/10/1
Francisco Blasques
H-Index: 11
Siem Jan Koopman
H-Index: 41
Finite sample optimality of score-driven volatility models: Some Monte Carlo evidence
Econometrics and Statistics
2021/7/1
Francisco Blasques
H-Index: 11
Common and Idiosyncratic Conditional Volatility Factors: Theory and Empirical Evidence
2021/6/21
Francisco Blasques
H-Index: 11
Siem Jan Koopman
H-Index: 41
Missing observations in observation-driven time series models
Journal of Econometrics
2021/4/1
Co-Authors
