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Francisco Blasques · Study

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Francisco Blasques

10 works· latest 2021· 2 institutionscluster: provisionalORCID 0000-0001-5035-1990

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i1010

Citations821

Works here10

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Most cited in this library

Information-theoretic optimality of observation-driven time series models for continuous responses2015 · 166 citations
Spillover Dynamics for Systemic Risk Measurement Using Spatial Financial Time Series Models2014 · 139 citations
Time‐Varying Transition Probabilities for Markov Regime Switching Models2016 · 100 citations
Maximum likelihood estimation for score-driven models2021 · 91 citations
Feasible invertibility conditions and maximum likelihood estimation for observation-driven models2018 · 68 citations

Works

10 shown

Maximum likelihood estimation for score-driven models

Journal of Econometrics·2021·3 authors·Open access

91citations

A dynamic network model of the unsecured interbank lending market

Journal of Economic Dynamics and Control·2018·3 authors·Open access

63citations

Feasible invertibility conditions and maximum likelihood estimation for observation-driven models

Electronic Journal of Statistics·2018·3 authors·Open access

68citations

Time‐Varying Transition Probabilities for Markov Regime Switching Models

Journal of Time Series Analysis·2016·4 authors·Open access

100citations

In-sample confidence bands and out-of-sample forecast bands for time-varying parameters in observation-driven models

International Journal of Forecasting·2016·4 authors·Open access

44citations

Information-theoretic optimality of observation-driven time series models for continuous responses

Biometrika·2015·3 authors

166citations

A Dynamic Network Model of the Unsecured Interbank Lending Market

SSRN Electronic Journal·2015·3 authors·preprint·Open access

38citations

Spillover Dynamics for Systemic Risk Measurement Using Spatial Financial Time Series Models

Journal of Econometrics·2014·4 authors·Open access

139citations

Maximum Likelihood Estimation for Generalized Autoregressive Score Models

SSRN Electronic Journal·2014·3 authors·preprint·Open access

63citations

Stationarity and ergodicity of univariate generalized autoregressive score processes

Electronic Journal of Statistics·2014·3 authors·Open access

49citations