dr. F. Blasques Albergaria Amaral

dr.

20112019
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Research Output 2011 2019

  • 23 Working paper
  • 14 Article
  • 5 PhD Thesis - Research VU, graduation VU
  • 1 PhD Thesis - Research external, graduation external
2019

Accelerating score-driven time series models

Blasques, F., Gorgi, P. & Koopman, S. J., 2019, In : Journal of Econometrics. 212, 2, p. 359-376

Research output: Contribution to JournalArticleAcademicpeer-review

Time series models
Innovation
Time-varying
Autocorrelation
Weighting

Essays on Modeling Time-Varying Parameters

van Vlodrop, A. C., 2019, 201 p.

Research output: PhD ThesisPhD Thesis - Research VU, graduation VUAcademic

Open Access
File

On the stability of stochastic dynamic systems and their use in econometrics

Nientker, M. H. C., 2019, 134 p.

Research output: PhD ThesisPhD Thesis - Research VU, graduation VUAcademic

Open Access
File

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

2018

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

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
Invertibility
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

Penalized indirect inference

Blasques, F. & Duplinskiy, A., Jul 2018, In : Journal of Econometrics. 205, 1, p. 34-54 21 p.

Research output: Contribution to JournalArticleAcademicpeer-review

Indirect Inference
Estimator
Structural Model
Economics
General Equilibrium
2017

A Stochastic Recurrence Equation Approach to Stationarity and phi-Mixing of a Class of Nonlinear ARCH Models

Blasques Albergaria Amaral, F. & Nientker, M. H. C., 2017, Amsterdam: Tinbergen Institute, 18 p. (TI Discussion Paper Series; vol. 17, no. 072/III).

Research output: Working paperAcademic

Finite Sample Optimality of Score-Driven Volatility Models

Blasques Albergaria Amaral, F., Lucas, A. & van Vlodrop, A. C., 2017, Amsterdam: Tinbergen Institute, 23 p. (TI Discussion Paper Series; vol. 17, no. 111/III).

Research output: Working paperAcademic

On observation-driven time series modeling

Gorgi, P., 2017, Amsterdam: Vrije Universiteit. 114 p.

Research output: PhD ThesisPhD Thesis - Research VU, graduation VUAcademic

Open Access
File

Smooth Transition Spatial Autoregressive Models

Andree, B. P. J., Blasques Albergaria Amaral, F. & Koomen, E., 2017, Amsterdam: Tinbergen Institute, 55 p. (Tinbergen Institute Discussion Paper Series; vol. 2017-050/III).

Research output: Working paperAcademic

The Econometrics of Financial Comovement

Silde, E., 2017, 691 ed. Amsterdam: Tinbergen Institute. 240 p.

Research output: PhD ThesisPhD Thesis - Research VU, graduation VUAcademic

Open Access
File

Time Varying Transition Probabilities for Markov Regime Switching Models

Bazzi, M., Blasques Albergaria Amaral, F., Koopman, S. J. & Lucas, A., 2017, In : Journal of Time Series Analysis. 38, 3, p. 458–478

Research output: Contribution to JournalArticleAcademicpeer-review

Topics in Forecasting Macroeconomic Time Series

Zhang, Z., 2017, Amsterdam: Tinbergen Institute. 127 p.

Research output: PhD ThesisPhD Thesis - Research VU, graduation VUAcademic

Open Access
File
2016

Feasible Invertibility Conditions and Maximum Likelihood Estimation for Observation-Driven Models

Blasques, F., Gorgi, P. G., Koopman, S. J. & Wintenberger, O., 2016, Amsterdam: Tinbergen Institute, 34 p. (TI Discussion Paper; no. 16-082/III).

Research output: Working paperProfessional

In-Sample Confidence Bands and Out-of-Sample Forecast Bands for Time-Varying Parameters in Observation Driven Models

Blasques, F., Koopman, S. J., Lasak, K. A. & Lucas, A., 2016, In : International Journal of Forecasting. 32, 3, p. 875-887

Research output: Contribution to JournalArticleAcademicpeer-review

Confidence
Out-of-sample forecasting
Time-varying parameters
Parameter uncertainty
Uncertainty

Semiparametric score driven volatility models

Blasques, F., Ji, J. & Lucas, A., 2016, In : Computational Statistics and Data Analysis. 100, August, p. 58-69

Research output: Contribution to JournalArticleAcademicpeer-review

Volatility
Conditional Heteroskedasticity
Quasi-maximum Likelihood
Stock Returns
Maximum likelihood estimation

Spillover dynamics for systemic risk measurement using spatial financial time series models

Blasques, F., Koopman, S. J., Lucas, A. & Schaumburg, J., 2016, In : Journal of Econometrics. 195, 2, p. 211-223

Research output: Contribution to JournalArticleAcademicpeer-review

Financial time series
Spillover
Time series models
Systemic risk
Risk measurement

Weighted Maximum Likelihood for Dynamic Factor Analysis and Forecasting with Mixed Frequency Data

Blasques Albergaria Amaral, F., Koopman, S. J., Mallee, M. I. P. & Zhang, Z., 2016, In : Journal of Econometrics. 193, 2, p. 405-417

Research output: Contribution to JournalArticleAcademicpeer-review

Maximum likelihood
Dynamic factor analysis
Mixed frequency data
Estimator
Forecasting accuracy
2015

A Note on "Continuous Invertibility and Stable QML Estimation of the EGARCH(1,1) Model"

Blasques, F., Gorgi, P. G., Koopman, S. J. & Wintenberger, O., 2015, Amsterdam: Tinbergen Institute, 10 p. (TI Discussion Paper; no. 15-131/III).

Research output: Working paperProfessional

Information Theoretic Optimality of Observation Driven Time Series Models

Blasques, F., Koopman, S. J. & Lucas, A., 2015, In : Biometrika. 102, 2, p. 325-343

Research output: Contribution to JournalArticleAcademicpeer-review

Time Series Models
Time series
time series analysis
Optimality
Kullback-Leibler Divergence

Penalized Indirect Inference

Blasques, F. & Duplinskiy, A., 2015, Amsterdam: Tinbergen Institute, 36 p. (TI Discussion Paper; no. 15-09/III).

Research output: Working paperProfessional

2014

A Dynamic Stochastic Network Model of the Unsecured Interbank Lending Market

Blasques, F., Brauning, F. U. & Van Lelyveld, I., 2014, La Hulpe, Belgium: SWIFT Institute, 51 p. (SWIFT INSTITUTE Working Paper; no. 2012-007).

Research output: Working paperProfessional

Information Theoretic Optimality of Observation Driven Time Series Models

Blasques, F., Koopman, S. J. & Lucas, A., 2014, Amsterdam: Tinbergen Institute, 33 p. (TI Discussion Paper; no. 14-046/III).

Research output: Working paperProfessional

Low Frequency and Weighted Likelihood Solutions for Mixed Frequency Dynamic Factor Models

Blasques, F., Koopman, S. J. & Mallee, M. I. P., 2014, Amsterdam: Tinbergen Institute, 51 p. (TI Discussion Paper; no. 14-105/III).

Research output: Working paperProfessional

Maximum Likelihood Estimation for Generalized Autoregressive Score Models

Blasques, F., Koopman, S. J. & Lucas, A., 2014, Amsterdam: Tinbergen Institute, 67 p. (TI Discussion Paper; no. 14-029/III).

Research output: Working paperProfessional

Optimal Formulations for Nonlinear Autoregressive Processes

Blasques, F., Koopman, S. J. & Lucas, A., 2014, Amsterdam: Tinbergen Institute, 54 p. (TI Discussion Paper; no. 14-103/III).

Research output: Working paperProfessional

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

Blasques, F., Koopman, S. J., Lucas, A. & Schaumburg, J., 2014, Amsterdam: Tinbergen Institute, 48 p. (TI Discussion Paper; no. 14-107/III).

Research output: Working paperProfessional

Stationarity and Ergodicity of Univariate Generalized Autoregressive Score Processes

Blasques, F., Koopman, S. J. & Lucas, A., 2014, In : Electronic Journal of Statistics. 8, 1, p. 1088-1112

Research output: Contribution to JournalArticleAcademicpeer-review

Open Access
Stationarity
Ergodicity
Univariate
Higher Order Moments
Nonlinear Time Series

Time Varying Transition Probabilities for Markov Regime Switching Models

Bazzi, M., Blasques, F., Koopman, S. J. & Lucas, A., 2014, Amsterdam: Tinbergen Institute, 26 p. (TI Discussion Paper; no. 14-072/III).

Research output: Working paperProfessional

Transformed Polynomials for Nonlinear Autogressive Models of the Conditional Mean

Albergaria Amaral Blasques, F., 2014, In : Journal of Time Series Analysis. 35, 3, p. 218-238 20 p.

Research output: Contribution to JournalArticleAcademicpeer-review

Nonlinear Model
Polynomials
Fading Memory
Time Series Modelling
Polynomial
2013

On the Phase Dependence in Time-Varying Correlations Between Time-Series

Blasques, F., 2013, Amsterdam: Tinbergen Institute, 41 p. (TI Discussion Paper; no. 13-054/III).

Research output: Working paperProfessional

File

Solution-Driven Specification of DSGE Models

Blasques, F., 2013, Amsterdam: Tinbergen Institute, 23 p. (TI Discussion Paper; no. 13-062/III).

Research output: Working paperProfessional

File

Stationarity and Ergodicity Regions for Score Driven Dynamic Correlation Models

Blasques, F., Lucas, A. & Silde, E., 2013, Amsterdam: TI Discussion Paper, 22 p. (TI Discussion Paper; no. 13-097/IV/DSF59).

Research output: Working paperProfessional

File
2012

Stationarity and Ergodicity of Univariate Generalized Autoregressive Score Processes

Blasques, F., Koopman, S. J. & Lucas, A., 2012, Amsterdam: Tinbergen Institute, 31 p. (TI Discussion Papers; no. 12-059/4).

Research output: Working paperProfessional

File

Transformed Polynomials for Nonlinear Autoregressive Models of the Conditional Mean

Blasques, F., 2012, Amsterdam: Tinbergen Institute, 26 p. (TI Discussion Paper; no. 12-133/III).

Research output: Working paperProfessional

File
2011

Semi-Nonparametric Indirect Inference

Blasques, F., 2011, Maastricht: Universitaire Pers.

Research output: PhD ThesisPhD Thesis - Research external, graduation externalAcademic

File