Francisco Blasques

746 total citations
42 papers, 391 citations indexed

About

Francisco Blasques is a scholar working on Finance, Economics and Econometrics and General Economics, Econometrics and Finance. According to data from OpenAlex, Francisco Blasques has authored 42 papers receiving a total of 391 indexed citations (citations by other indexed papers that have themselves been cited), including 29 papers in Finance, 27 papers in Economics and Econometrics and 19 papers in General Economics, Econometrics and Finance. Recurrent topics in Francisco Blasques's work include Financial Risk and Volatility Modeling (27 papers), Monetary Policy and Economic Impact (19 papers) and Market Dynamics and Volatility (14 papers). Francisco Blasques is often cited by papers focused on Financial Risk and Volatility Modeling (27 papers), Monetary Policy and Economic Impact (19 papers) and Market Dynamics and Volatility (14 papers). Francisco Blasques collaborates with scholars based in Netherlands, Denmark and France. Francisco Blasques's co-authors include André Lucas, Siem Jan Koopman, Julia Schaumburg, Iman van Lelyveld, Olivier Wintenberger, Christian Francq, Sébastien Laurent, Falk Bräuning, Bo Pieter Johannes Andrée and E. Koomen and has published in prestigious journals such as Biometrika, Journal of Econometrics and Journal of Business and Economic Statistics.

In The Last Decade

Francisco Blasques

40 papers receiving 386 citations

Peers

Francisco Blasques

FINAN

GEEF

MSOR

Dong Hwan Oh United States

Christos Agiakloglou Greece

Valeri Voev Denmark

Genaro Sucarrat Norway

Abderrahim Taamouti United Kingdom

Gregor Kastner Austria

Flávio Augusto Ziegelmann Brazil

Denis Pelletier United States

Lorenzo Pascual Spain

Roel C. A. Oomen United Kingdom

Dong Hwan Oh United States

Francisco Blasques

329 ×1.2

424 ×1.7

FINAN

146 ×1.3

GEEF

60 ×1.2

49 ×1.6

MSOR

Citations per year, relative to Francisco Blasques Francisco Blasques (= 1×) peers Dong Hwan Oh

Countries citing papers authored by Francisco Blasques

Since Specialization

Citations

This map shows the geographic impact of Francisco Blasques's research. It shows the number of citations coming from papers published by authors working in each country. You can also color the map by specialization and compare the number of citations received by Francisco Blasques with the expected number of citations based on a country's size and research output (numbers larger than one mean the country cites Francisco Blasques more than expected).

Fields of papers citing papers by Francisco Blasques

Since Specialization

Physical SciencesHealth SciencesLife SciencesSocial Sciences

This network shows the impact of papers produced by Francisco Blasques. Nodes represent research fields, and links connect fields that are likely to share authors. Colored nodes show fields that tend to cite the papers produced by Francisco Blasques. The network helps show where Francisco Blasques may publish in the future.

Co-authorship network of co-authors of Francisco Blasques

This figure shows the co-authorship network connecting the top 25 collaborators of Francisco Blasques. A scholar is included among the top collaborators of Francisco Blasques based on the total number of citations received by their joint publications. Widths of edges represent the number of papers authors have co-authored together. Node borders signify the number of papers an author published with Francisco Blasques. Francisco Blasques is excluded from the visualization to improve readability, since they are connected to all nodes in the network.

All Works

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20 of 20 papers shown

Blasques, Francisco, et al.. (2025). Conditional Score Residuals and Diagnostic Analysis of Serial Dependence in Time Series Models. Journal of Business and Economic Statistics. 43(4). 926–940.

Blasques, Francisco, et al.. (2024). Asymmetric stable stochastic volatility models: estimation, filtering, and forecasting. Journal of Time Series Analysis. 46(6). 1098–1124. 1 indexed citations

Blasques, Francisco, Christian Francq, & Sébastien Laurent. (2023). Autoregressive conditional betas. Journal of Econometrics. 238(2). 105630–105630. 2 indexed citations

Blasques, Francisco, et al.. (2023). Zero-Inflated Autoregressive Conditional Duration Model for Discrete Trade Durations with Excessive Zeros. Studies in Nonlinear Dynamics and Econometrics. 28(5). 673–702. 3 indexed citations

Blasques, Francisco, et al.. (2023). Extremum Monte Carlo Filters: Real-Time Signal Extraction via Simulation and Regression. SSRN Electronic Journal. 1 indexed citations

Blasques, Francisco, et al.. (2023). Maximum Likelihood Estimation for Non-Stationary Location Models with Mixture of Normal Distributions. Journal of Econometrics. 238(1). 105575–105575. 1 indexed citations

Blasques, Francisco, Christian Francq, & Sébastien Laurent. (2022). Quasi score-driven models. Journal of Econometrics. 234(1). 251–275. 7 indexed citations

Blasques, Francisco, et al.. (2021). Dynamic factor models with clustered loadings: Forecasting education flows using unemployment data. Data Archiving and Networked Services (DANS). 9 indexed citations

Blasques, Francisco, et al.. (2021). Forecasting in a Changing World: from the Great Recession to the COVID-19 Pandemic. SSRN Electronic Journal. 1 indexed citations

10.

Blasques, Francisco, et al.. (2020). Finite Sample Optimality of Score-Driven Volatility Models: Some Monte Carlo Evidence. Econometrics and Statistics. 19. 47–57. 6 indexed citations

11.

Blasques, Francisco, Siem Jan Koopman, & André Lucas. (2019). Nonlinear autoregressive models with optimality properties. Econometric Reviews. 39(6). 559–578. 4 indexed citations

12.

Blasques, Francisco, Siem Jan Koopman, & André Lucas. (2018). Amendments and Corrections. Biometrika. 105(3). 753–753. 3 indexed citations

13.

Blasques, Francisco, et al.. (2018). Missing Observations in Observation-Driven Time Series Models. SSRN Electronic Journal. 1 indexed citations

14.

Blasques, Francisco, et al.. (2017). Finite Sample Optimality of Score-Driven Volatility Models. SSRN Electronic Journal. 2 indexed citations

15.

Blasques, Francisco, et al.. (2016). In-sample confidence bands and out-of-sample forecast bands for time-varying parameters in observation-driven models. International Journal of Forecasting. 32(3). 875–887. 29 indexed citations

16.

Blasques, Francisco, et al.. (2016). Weighted maximum likelihood for dynamic factor analysis and forecasting with mixed frequency data. Journal of Econometrics. 193(2). 405–417. 12 indexed citations

17.

Blasques, Francisco, et al.. (2015). Semiparametric score driven volatility models. Computational Statistics & Data Analysis. 100. 58–69. 4 indexed citations

18.

Blasques, Francisco. (2014). TRANSFORMED POLYNOMIALS FOR NONLINEAR AUTOREGRESSIVE MODELS OF THE CONDITIONAL MEAN. Journal of Time Series Analysis. 35(3). 218–238. 1 indexed citations

19.

Blasques, Francisco, Siem Jan Koopman, & André Lucas. (2012). Stationarity and Ergodicity of Univariate Generalized Autoregressive Score Processes. SSRN Electronic Journal. 11 indexed citations

20.

Blasques, Francisco. (2010). Identifiable Uniqueness Conditions for a Large Class of Extremum Estimators. 1 indexed citations

Rankless uses publication and citation data sourced from OpenAlex, an open and comprehensive bibliographic database. While OpenAlex provides broad and valuable coverage of the global research landscape, it—like all bibliographic datasets—has inherent limitations. These include incomplete records, variations in author disambiguation, differences in journal indexing, and delays in data updates. As a result, some metrics and network relationships displayed in Rankless may not fully capture the entirety of a scholar's output or impact.

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