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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.

Research

Econometrics, Statistics, Data Analysis

Teaching

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 Fingerprint is based on mining the text of the person's scientific documents to create an index of weighted terms, which defines the key subjects of each individual researcher.

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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
Innovation
Time-varying
Autocorrelation
Weighting

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
Monitoring

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
Decomposition
Sufficiency
Rescaling
Maximum likelihood estimator
Asymptotic normality

Prizes

NWO-VIDI Grant

F. Blasques Albergaria Amaral (Recipient), 2019

PrizeAcademic

Econometric methods
Statistical methods
Econometrics
Econometric models