Edit Profile (opens in new tab) Blasques, Francisco Co-Author Distance Author ID: blasques.francisco Published as: Blasques, Francisco; Blasques, F. Documents Indexed: 21 Publications since 2014 1 Contribution as Editor Co-Authors: 18 Co-Authors with 21 Joint Publications 168 Co-Co-Authors all top 5 Co-Authors 1 single-authored 14 Koopman, Siem Jan 10 Lucas, André 4 Gorgi, Paolo 2 Francq, Christian 2 Laurent, Sébastien-Yves 2 Nientker, Marc 2 van Brummelen, Janneke 1 Bazzi, Marco 1 Bräuning, Falk 1 Duplinskiy, Artem 1 Harvey, Andrew C. 1 Ji, Jiangyu 1 Lelyveld, Iman van 1 Mallee, Max I. P. 1 Schaumburg, Julia 1 Silde, Erkki 1 Wintenberger, Olivier 1 Zhang, Zhaokun all top 5 Serials 12 Journal of Econometrics 2 Biometrika 2 Journal of Time Series Analysis 2 Econometric Reviews 2 Electronic Journal of Statistics 1 Journal of Economic Dynamics & Control 1 Computational Statistics and Data Analysis Fields 21 Statistics (62-XX) 10 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 2 Probability theory and stochastic processes (60-XX) 1 General and overarching topics; collections (00-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 15 Publications have been cited 95 times in 63 Documents Cited by ▼ Year ▼ Information-theoretic optimality of observation-driven time series models for continuous responses. Zbl 1452.62620 Blasques, F.; Koopman, S. J.; Lucas, A. 20 2015 Stationarity and ergodicity of univariate generalized autoregressive score processes. Zbl 1309.60034 Blasques, Francisco; Koopman, Siem Jan; Lucas, André 18 2014 Feasible invertibility conditions and maximum likelihood estimation for observation-driven models. Zbl 1473.62301 Blasques, Francisco; Gorgi, Paolo; Koopman, Siem Jan; Wintenberger, Olivier 13 2018 Time-varying transition probabilities for Markov regime switching models. Zbl 1369.62211 Bazzi, Marco; Blasques, Francisco; Koopman, Siem Jan; Lucas, Andre 11 2017 Maximum likelihood estimation for score-driven models. Zbl 07491163 Blasques, Francisco; van Brummelen, Janneke; Koopman, Siem Jan; Lucas, André 7 2022 Spillover dynamics for systemic risk measurement using spatial financial time series models. Zbl 1443.62331 Blasques, Francisco; Koopman, Siem Jan; Lucas, Andre; Schaumburg, Julia 6 2016 Weighted maximum likelihood for dynamic factor analysis and forecasting with mixed frequency data. Zbl 1431.62587 Blasques, F.; Koopman, S. J.; Mallee, M.; Zhang, Z. 4 2016 A dynamic network model of the unsecured interbank lending market. Zbl 1401.91542 Blasques, Francisco; Bräuning, Falk; Lelyveld, Iman van 4 2018 Nonlinear autoregressive models with optimality properties. Zbl 1490.62421 Blasques, Francisco; Koopman, Siem Jan; Lucas, André 3 2020 A stochastic recurrence equations approach for score driven correlation models. Zbl 1491.62087 Blasques, Francisco; Lucas, André; Silde, Erkki 2 2018 Missing observations in observation-driven time series models. Zbl 1471.62456 Blasques, F.; Gorgi, P.; Koopman, S. J. 2 2021 Quasi score-driven models. Zbl 07674657 Blasques, F.; Francq, Christian; Laurent, Sébastien 2 2023 Penalized indirect inference. Zbl 1452.62885 Blasques, Francisco; Duplinskiy, Artem 1 2018 Corrections to: ‘Information-theoretic optimality of observation-driven time series models for continuous responses’. Zbl 1452.62621 Blasques, F.; Koopman, S. J.; Lucas, A. 1 2018 A time-varying parameter model for local explosions. Zbl 07491149 Blasques, Francisco; Koopman, Siem Jan; Nientker, Marc 1 2022 Quasi score-driven models. Zbl 07674657 Blasques, F.; Francq, Christian; Laurent, Sébastien 2 2023 Maximum likelihood estimation for score-driven models. Zbl 07491163 Blasques, Francisco; van Brummelen, Janneke; Koopman, Siem Jan; Lucas, André 7 2022 A time-varying parameter model for local explosions. Zbl 07491149 Blasques, Francisco; Koopman, Siem Jan; Nientker, Marc 1 2022 Missing observations in observation-driven time series models. Zbl 1471.62456 Blasques, F.; Gorgi, P.; Koopman, S. J. 2 2021 Nonlinear autoregressive models with optimality properties. Zbl 1490.62421 Blasques, Francisco; Koopman, Siem Jan; Lucas, André 3 2020 Feasible invertibility conditions and maximum likelihood estimation for observation-driven models. Zbl 1473.62301 Blasques, Francisco; Gorgi, Paolo; Koopman, Siem Jan; Wintenberger, Olivier 13 2018 A dynamic network model of the unsecured interbank lending market. Zbl 1401.91542 Blasques, Francisco; Bräuning, Falk; Lelyveld, Iman van 4 2018 A stochastic recurrence equations approach for score driven correlation models. Zbl 1491.62087 Blasques, Francisco; Lucas, André; Silde, Erkki 2 2018 Penalized indirect inference. Zbl 1452.62885 Blasques, Francisco; Duplinskiy, Artem 1 2018 Corrections to: ‘Information-theoretic optimality of observation-driven time series models for continuous responses’. Zbl 1452.62621 Blasques, F.; Koopman, S. J.; Lucas, A. 1 2018 Time-varying transition probabilities for Markov regime switching models. Zbl 1369.62211 Bazzi, Marco; Blasques, Francisco; Koopman, Siem Jan; Lucas, Andre 11 2017 Spillover dynamics for systemic risk measurement using spatial financial time series models. Zbl 1443.62331 Blasques, Francisco; Koopman, Siem Jan; Lucas, Andre; Schaumburg, Julia 6 2016 Weighted maximum likelihood for dynamic factor analysis and forecasting with mixed frequency data. Zbl 1431.62587 Blasques, F.; Koopman, S. J.; Mallee, M.; Zhang, Z. 4 2016 Information-theoretic optimality of observation-driven time series models for continuous responses. Zbl 1452.62620 Blasques, F.; Koopman, S. J.; Lucas, A. 20 2015 Stationarity and ergodicity of univariate generalized autoregressive score processes. Zbl 1309.60034 Blasques, Francisco; Koopman, Siem Jan; Lucas, André 18 2014 all cited Publications top 5 cited Publications all top 5 Cited by 109 Authors 16 Blasques, Francisco 14 Koopman, Siem Jan 9 Lucas, André 5 Francq, Christian 5 Gorgi, Paolo 3 Luati, Alessandra 3 Schaumburg, Julia 2 Bräuning, Falk 2 Chen, Huaping 2 D’Innocenzo, Enzo 2 Fernandes, Cristiano Augusto Coelho 2 Holý, Vladimír 2 Laurent, Sébastien-Yves 2 Li, Qi 2 Nientker, Marc 2 Palumbo, Dario 2 Tao, Ye 2 Tomanová, Petra 2 van Brummelen, Janneke 2 Yin, Juliang 2 Zakoïan, Jean-Michel 2 Zhu, Fukang 1 Accominotti, Olivier 1 Aknouche, Abdelhakim 1 Babii, Andrii 1 Bazzi, Marco 1 Bessec, Marie 1 Bisaglia, Luisa 1 Blazsek, Szabolcs 1 Blazsek, Virag 1 Buccheri, Giuseppe 1 Catania, Leopoldo 1 Chang, Yoosoon 1 Chen, Xi 1 Corsi, Fulvio 1 Craig, Ben 1 Creal, Drew D. 1 Cribari-Neto, Francisco 1 Custodio João, Igor 1 de Melo, Eduardo Fraga L. 1 de Melo, Mariana Arozo B. 1 Debarsy, Nicolas 1 Dossougoin, Cyrille 1 Doukhan, Paul 1 Dunsmuir, William T. M. 1 El Ghourabi, Mohamed 1 Ertur, Cem 1 Feizi, Bahareh 1 Flandoli, Franco 1 Fokianos, Konstantinos 1 Fonseca, Rodney Vasconcelos 1 Gammoudi, Imed 1 Gasperoni, Francesca 1 Ghysels, Eric 1 Gnabo, Jean-Yves 1 Grigoletto, Matteo 1 Guo, Juncong 1 Hoeltgebaum, Henrique 1 Hui, Peng 1 Hurn, Stan 1 Ji, Jiangyu 1 Kobor, Adam 1 Lazier, Iuri 1 Lelyveld, Iman van 1 Li, Mengheng 1 Linardi, Fernando 1 Lit, Rutger 1 Livieri, Giulia 1 Lucena-Piquero, Delio 1 Maih, Junior 1 Mallee, Max I. P. 1 Maringer, Dietmar G. 1 Mazzocchi, Mario 1 McElroy, Tucker S. 1 Müller, Gernot J. 1 Nani, Asma 1 Neves, César 1 Oh, Dong Hwan 1 Opschoor, Anne 1 Paci, Lucia 1 Paterlini, Sandra 1 Patton, Andrew J. 1 Petrova, Desislava 1 Poncela, Pilar 1 Pourdarvish, Ahmad 1 Qu, Xi 1 Ruiz, Esther 1 Rynkiewicz, Joseph 1 Schwaab, Bernd 1 Seibert, Armin 1 Silde, Erkki 1 Sirchenko, Andrei 1 Spezia, Luigi 1 Tan, Fei 1 Thiele, Stephen 1 Trimbur, Thomas M. 1 Tripodis, Yorghos 1 Ugolini, Stefano 1 Umlandt, Dennis 1 van der Leij, Marco J. ...and 9 more Authors all top 5 Cited in 26 Serials 23 Journal of Econometrics 6 Journal of Economic Dynamics & Control 4 Econometric Reviews 3 Journal of Time Series Analysis 2 Economics Letters 2 Communications in Statistics. Theory and Methods 2 Computational Statistics and Data Analysis 2 Journal of Applied Statistics 2 Statistical Methods and Applications 1 Journal of the American Statistical Association 1 Statistica Neerlandica 1 Insurance Mathematics & Economics 1 Communications in Statistics. Simulation and Computation 1 Studies in Nonlinear Dynamics and Econometrics 1 Discrete Dynamics in Nature and Society 1 CEJOR. Central European Journal of Operations Research 1 Econometric Theory 1 Brazilian Journal of Probability and Statistics 1 Quantitative Finance 1 Computational Management Science 1 Journal of the Korean Statistical Society 1 AStA. Advances in Statistical Analysis 1 Electronic Journal of Statistics 1 The Annals of Applied Statistics 1 Foundations and Trends in Econometrics 1 Dynamic Games and Applications all top 5 Cited in 8 Fields 55 Statistics (62-XX) 28 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 6 Probability theory and stochastic processes (60-XX) 3 Numerical analysis (65-XX) 2 Geophysics (86-XX) 2 Operations research, mathematical programming (90-XX) 1 Combinatorics (05-XX) 1 Biology and other natural sciences (92-XX) Citations by Year