Maximum likelihood estimation for score-driven models
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Publication:2116342
DOI10.1016/j.jeconom.2021.06.003OpenAlexW3185976637MaRDI QIDQ2116342
Janneke van Brummelen, Siem Jan Koopman, André Lucas, Francisco Blasques
Publication date: 16 March 2022
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://papers.tinbergen.nl/14029.pdf
Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)
Related Items
LOCAL ASYMPTOTIC NORMALITY OF GENERAL CONDITIONALLY HETEROSKEDASTIC AND SCORE-DRIVEN TIME-SERIES MODELS ⋮ Score-driven models for realized volatility ⋮ Score-driven asset pricing: predicting time-varying risk premia based on cross-sectional model performance ⋮ Modelling circular time series ⋮ Maximum likelihood estimation for non-stationary location models with mixture of normal distributions ⋮ Observation-driven filtering of time-varying parameters using moment conditions ⋮ Quasi score-driven models
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