F. Blasques Albergaria Amaral


If you made any changes in Pure these will be visible here soon.

Personal profile

Personal information

Francisco Blasques is an assistant professor at the department of econometrics and operations research. He is also a fellow of the Tinbergen Institute.


Econometrics, Statistics, Data Analysis


Master and Bachelor Courses

VU University Amsterdam (2011-2016):

  • Advanced Econometrics
  • Econometrics 1
  • Introductory Econometrics
  • Introduction to Time Series
  • Mathematics
  • Macro and Financial Econometrics

Maastricht University (2008-2011):            

  • Quantitative Methods
  • Mathematical Statistics
  • Macroeconomics


PhD Thesis Supervision

  • 2015 - 2018 :  Marc Nientker
  • 2014 - 2017 :  Andries Vlodrop
  • 2013 - 2016 :  Paolo Gorgi
  • 2012 - 2015 :  Zhaokun Zhang
  • 2012 - 2015 :  Erkki Silde

Ancillary activities

No ancillary activities

Ancillary activities are updated daily

Fingerprint Dive into the research topics where F. Blasques Albergaria Amaral is active. These topic labels come from the works of this person. Together they form a unique fingerprint.

  • 2 Similar Profiles
Indirect Inference Mathematics
Time Series Models Mathematics
Maximum Likelihood Estimation Mathematics
Volatility Mathematics
Invertibility Mathematics
Dynamic Networks Mathematics
Univariate Mathematics
Stationarity Mathematics

Network Recent external collaboration on country level. Dive into details by clicking on the dots.

Research Output 2011 2019

  • 23 Working paper
  • 14 Article
  • 3 PhD Thesis - Research VU, graduation VU
  • 1 PhD Thesis - Research external, graduation external

Accelerating score-driven time series models

Blasques, F., Gorgi, P. & Koopman, S. J., 2019, (Accepted/In press) In : Journal of Econometrics.

Research output: Contribution to JournalArticleAcademicpeer-review

Time series models

Transformed Perturbation Solutions for Dynamic Stochastic General Equilibrium Models

Blasques Albergaria Amaral, F. & Nientker, M. H. C., 2019, 012/III ed., Amsterdam: Tinbergen Institute, 38 p. (TI Discussion Paper Series; vol. 2019, no. 012/III).

Research output: Working paperAcademic

Zero-Inflated Autoregressive Conditional Duration Model for Discrete Trade Durations with Excessive Zeros

Blasques Albergaria Amaral, F., Holy, V. & Tomanova, P., 2019, 004/III ed., Amsterdam: Tinbergen Institute, 47 p. (TI Discussion Paper Series; vol. 2019, no. 004/III).

Research output: Working paperAcademic

A dynamic network model of the unsecured interbank lending market

Blasques, F., Bräuning, F. & Lelyveld, I. V., May 2018, In : Journal of Economic Dynamics and Control. 90, p. 310-342 33 p.

Research output: Contribution to JournalArticleAcademicpeer-review

Dynamic Networks
Network Model
Dynamic Model
Credit Risk

A Stochastic Recurrence Equations Approach for Score Driven Correlation Models

Blasques, F., Lucas, A. & Silde, E., 2018, In : Econometric Reviews. 37, 2, p. 166-181

Research output: Contribution to JournalArticleAcademicpeer-review

Open Access
Maximum likelihood estimator
Asymptotic normality



F. Blasques Albergaria Amaral (Recipient), 2019


Econometric methods
Statistical methods
Econometric models