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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

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Indirect Inference Mathematics
Time Series Models Mathematics
Maximum Likelihood Estimation Mathematics
Volatility Mathematics
Invertibility Mathematics
Dynamic Networks Mathematics
Univariate Mathematics
Stationarity Mathematics

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Research Output 2011 2018

  • 21 Working paper
  • 13 Article
  • 3 PhD Thesis - Research VU, graduation VU
  • 1 PhD Thesis - Research external, graduation external

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

A Time-Varying Parameter Model for Local Explosions

Blasques Albergaria Amaral, F., Koopman, S. J. & Nientker, M. H. C., 2018, Amsterdam: Tinbergen Institute, 39 p. (TI Discussion Paper Series; vol. 18-088/III).

Research output: Working paperAcademic

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

Blasques, F., Gorgi, P., Koopman, S. J. & Wintenberger, O., Mar 2018, In : Electronic Journal of Statistics. 12, 1, p. 1019-1052 34 p.

Research output: Contribution to JournalArticleAcademicpeer-review

Open Access
Maximum Likelihood Estimation
Maximum Likelihood Estimator
Time Series Models
Misspecified Model

Missing Observations in Observation-Driven Time Series Models

Blasques Albergaria Amaral, F., Gorgi, P. & Koopman, S. J., 2018, 013/III ed., Amsterdam: Tinbergen Institute, 39 p. (TI Discussion Paper Series; vol. 2018, no. 013/III).

Research output: Working paperAcademic