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
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Working paper
2019

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 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

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

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

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

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

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

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

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

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

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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

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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

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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

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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

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