Francisco Blasques

Finance · 2014–2021

A researcher in the Science corpus: 7 papers; trusts 21 researchers and is trusted by 4 researchers here, as inferred from the citation graph.

Subfields

• Finance — 70 citations into it; #5,356 of 10,518 by trust here, #5,728 by citations
• Economics and Econometrics — 64 citations into it; #15,074 of 23,481 by trust here, #13,596 by citations
• Statistics and Probability — 29 citations into it; #9,941 of 12,932 by trust here, #9,714 by citations
• Management Science and Operations Research — 12 citations into it
• Artificial Intelligence — 6 citations into it
• Economics & Operations Research — 6 citations into it

Whom Francisco Blasques trusts overall

Their strongest outbound trust, strongest first, inferred from their citations.

1. Robert F. Engle
2. Andrew S. Harvey
3. Tim Bollerslev
4. S. J. Koopman
5. Drew D. Creal
6. Daniel B. Nelson
7. André Lucas
8. Olivier Wintenberger
9. Andrew J. Patton
10. Lung-fei Lee

Who trusts Francisco Blasques overall

1. S. J. Koopman
2. M. Bazzi
3. André Lucas
4. David Ardia
5. Rutger Lit
6. D. Oh
7. Yoosoon Chang
8. Keven Bluteau

Papers from Francisco Blasques's perspective

Ordered by how strongly the researchers Francisco Blasques trusts endorse each paper. Same corpus, a different order for every researcher.

1. Generalized autoregressive conditional heteroskedasticity
2. MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE a
3. Dynamic Conditional Correlation
4. On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks
5. CONDITIONAL HETEROSKEDASTICITY IN ASSET RETURNS: A NEW APPROACH
6. Estimating the Dimension of a Model
7. Econometric analysis of realized volatility and its use in estimating stochastic volatility models
8. Introduction to Spatial Econometrics
9. Time Series Analysis by State Space Methods
10. Theoretical and Empirical Properties of Dynamic Conditional Correlation Multivariate GARCH

Their papers

• Time‐Varying Transition Probabilities for Markov Regime Switching Models (2017) — 106 citations
• Information Theoretic Optimality of Observation Driven Time Series Models (2014) — 145 citations
• Maximum Likelihood Estimation for Generalized Autoregressive Score Models (2014) — 73 citations
• In-sample confidence bands and out-of-sample forecast bands for time-varying parameters in observation-driven models (2016) — 52 citations
• Maximum likelihood estimation for score-driven models (2021) — 80 citations
• Feasible invertibility conditions and maximum likelihood estimation for observation-driven models (2018) — 61 citations
• Spillover Dynamics for Systemic Risk Measurement Using Spatial Financial Time Series Models (2016) — 125 citations