Francisco Blasques
Professor of Econometrics
and Data Science
Vrije Universiteit Amsterdam
Director of Data Science
Metyis. datastuff. QuantiQ.
Research Fellow
Tinbergen Institute
E-mail: f.blasques@vu.nl
Tel: +31 205 985 621
Research
Published Articles
"Conditional Score Residuals and Diagnostic Analysis of Serial Dependence in Time Series Models"
Journal of Business & Economic Statistics, forthcoming, (2025).
Joint work with Paolo Gorgi and Siem Jan Koopman.
"Autoregressive conditional betas"
Journal of Econometrics. Volume 238, Issue 2, (2024).
Joint work with Christian Franq and Sebastien Laurent
"Maximum Likelihood Estimation for Non-Stationary
Location Models with Mixture of Normal Distributions"
Journal of Econometrics, Volume 238, Issue 1, (2024).
Joint work with Janneke van Brummelen, Paolo Gorgi
and Siem Jan Koopman.
”Asymmetric stable stochastic volatility models: estimation,
filtering, and forecasting”
Journal of Time-Series Analysis, forthcoming, (2024).
Joint work with Karim Moussa and Siem Jan Koopman.
”Common and idiosyncratic conditional volatility: Theory and empirical evidence from electricity prices
Econometric Reviews, forthcoming, (2024).
Joint work with Enzo D’Innocenzo and Siem Jan Koopman.
”A Robust Beveridge–Nelson Decomposition Using a Score-Driven Approach with an Application”
Economics Letters, 236, (2024).
Joint work with Janneke Brummelen, Paolo Gorgi
and Siem Jan Koopman.
"Stochastic properties of nonlinear locally-nonstationary filters"
Journal of Econometrics, Volume 235, Issue 2, (2023).
Joint work with Marc Nientker
"Zero-Inflated Autoregressive Conditional Duration Model for Discrete Trade Durations with Excessive Zeros"
Studies in Nonlinear Dynamics & Econometrics, Volume 28, Issue 5, (2023).
Joint with Vladimír Holý and Petra Tomanová
"Time-Varying Parameters in Econometrics: The editor’s foreword"
Journal of Econometrics, Volume 237, Issue 2, (2023).
Joint with Andrew Harvey, Siem Jan Koopman and Andre Lucas
"Score-driven models: theory and methods"
Oxford Research Encyclopedia, (2022).
Joint work with M. Artemova, J. van Brummelen, and SJ. Koopman
"Score-driven models: methods and applications"
Oxford Research Encyclopedia, (2022).
Joint work with M. Artemova, J. van Brummelen, and SJ. Koopman
"Quasi score-driven models"
Journal of Econometrics, Volume 234, Issue 1.
Joint work with Christian Franq and Sebastien Laurent
"Maximum likelihood for Score-Driven Time-Series Models"
Journal of Econometrics, Volume 227, Issue 2. (2022)
With Janneke van Brummelen, Siem Jan Koopman and Andre Lucas
"A Time-Varying Parameter Model for Local Explosions"
Journal of Econometrics, Volume 227, Issue 1. (2022)
Joint work with Marc Nientker and Siem Jan Koopman
"Dynamic Factor Models with Clustered Loadings: Forecasting Education Flows"
International Journal of Forecasting, Volume 37, Issue 4. (2021)
Joint work with Ilka van de Werve, Siem Jan Koopman and Meindert Hoogerkamp.
"Missing observations in observation-driven time series models"
Journal of Econometrics, Volume 221, Issue 2. (2021)
Joint work with Paolo Gorgi and Siem Jan Koopman
"Finite Sample Optimality of Score Driven Models"
Econometrics and Statistics, Volume 19. (2021)
Joint work with Andre Lucas and Andries Vlodrop
"Nonlinear Autoregressive Models with Optimality Properties"
Econometric Reviews, Volume 39, Issue 6. (2020)
Joint work with Siem Jan Koopman and Andre Lucas
"Accelerating Score-Driven Models"
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"
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"
Electronic Journal of Statistics, Volume 12, Number 1. (2018)
Joint work with Paolo Gorgi, Siem Jan Koopman and Olivier Wintenberger
"Penalized Indirect Inference"
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"
Econometric Reviews, Volume 37, issue 2. (2018)
Joint work with Andre Lucas and Erkki Silde
"Time Varying Transition Probabilites for Markov Regime Switching Models"
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"
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"
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""
International Journal of Forecasting, Volume 32, issue 3, pages 893-894. (2016)
Joint work with Siem Jan Koopman, Katarzyna Lasak and Andre Lucas
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
"Semiparametric Score Driven Volatility Models"
Computational Statistics and Data Analysis, Volume 100. (2016)
Joint work with Andre Lucas and Jiangyu Ji
"In-Sample Bounds for Time-Varying Parameters of Observation Driven Models"
International Journal of Forecasting, Volume 32, issue 3. (2016)
Joint work with Siem Jan Koopman, Katarzyna Lasak and Andre Lucas
"Information Theoretic Optimality of Observation Driven Time Series Models"
Biometrika, Volume 102, Issue 2. (2015)
Joint work with Andre Lucas and Siem Jan Koopman
"Stationarity and Ergodicity Conditions for Generalized Autoregressive Score Processes"
Electronic Journal of Statistics, Volume 8. (2014)
Joint work with Andre Lucas and Siem Jan Koopman
"Transformed Polynomials for Nonlinear Autoregressive Models of the Conditional Mean"
Journal of Time-Series Analysis, Volume 35, Issue 3. (2014)
"Wine Selection: Tasting, Learning and Identification of Favourites"
Enometrica Volume 3, Issue 2. (2010)
Published Books
Advanced Econometric Methods
Estimation and Inference for Nonlinear Dynamic Models
Second Edition. A Publications. (2019)
Solutions manual
Python, R and Matlab code
Amazon.nl Amazon.de Amazon.com
Semi-Nonparametric Indirect Inference
Data science of sieve estimation and deep learning
UM Publications (2011)
Other Working Papers
"A Score-Driven Filter for Causal Regression Models with Time- Varying Parameters and Endogenous Regressors"
Tinbergen Institute Discussion Paper. (2024)
Joint work with Noah Stegehuis.
"Observation-Driven filters for Time-Series with Stochastic Trends and Mixed Causal Non-Causal Dynamics"
Tinbergen Institute Discussion Paper. (2023)
Joint work with Gabriele Mingoli and Siem Jan Koopman
"A Multilevel Factor Model for Economic Activity with Observation-Driven Dynamic Factors"
Tinbergen Institute Discussion Paper. (2023)
Joint work with Mariia Artemova and Siem Jan Koopman
"Extremum Monte Carlo Filters: Real-Time Signal Extraction via Simulation and Regression"
Tinbergen Institute Discussion Paper. (2023)
Joint work with Karim Moussa and Siem Jan Koopman
"Does trade integration imply growth in Latin America? Evidence from a dynamic spatial spillover model,"
Tinbergen Institute Discussion Paper. (2023)
Joint work with James Sampi Bravo, Paolo Gorgi, and Siem Jan Koopman
"Common and Idiosyncratic Conditional Volatility Factors: Theory and Empirical Evidence"
Tinbergen Institute Discussion Paper. (2021)
Joint work with Enzo Di'nnocenzo and Siem Jan Koopman
"Transformed Perturbation Solutions for Dynamic Stochastic General Equilibrium Models"
Tinbergen Institute Discussion Paper. (2019)
Joint work with Marc Nientker
"Zero-Inflated Autoregressive Conditional Duration Model for Discrete Trade Durations with Excessive Zeros"
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"
Tinbergen Institute Discussion Paper. (2017)
Joint work with Marc Nientker
"Smooth Transition Spatial Autoregressive Models"
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"
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"
Tinbergen Institute Discussion Papers 14-046/III. (2014)
Joint work with Siem Jan Koopman and Andre Lucas
"On the Phase Dependence in Time-Varying Correlations Between Time-Series"
Tinbergen Institute Discussion Papers 12-059/4. (2013)
Joint work with Andre Lucas and Siem Jan Koopman
"Solution-Driven Specification of DSGE Models"
Tinbergen Institute Discussion Papers 12-059/4. (2013)
"Semi-Nonparametric Indirect Inference"
METEOR Research Memorandum. (2011)
"Identifiable Uniqueness Conditions for a Large Class of Extremum Estimators"
METEOR Research Memorandum. (2010)
"A Note on the Normalization of Variables in Dynamic Stochastic General Equilibrium Models"
METEOR Research Memorandum. (2010)
Joint work with Bertrand Candelon and Jean Pierre Urbain
Invited Speaker
RCREST-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.
