dr. F. Blasques Albergaria Amaral

dr.

20112019
If you made any changes in Pure these will be visible here soon.

Research Output 2011 2019

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

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

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

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

2016

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

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
2014

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

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