A stochastic recurrence equations approach for score driven correlation models

DOI10.1080/07474938.2016.1139821zbMath1491.62087OpenAlexW2307368074MaRDI QIDQ5034245

Erkki Silde, André Lucas, Francisco Blasques

Publication date: 24 February 2022

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474938.2016.1139821

zbMATH Keywords

consistencyasymptotic normalitystochastic recurrence equationsdynamic copulasobservation driven modelsgeneralized autoregressive score models

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (4)

A new class of integer-valued GARCH models for time series of bounded counts with extra-binomial variation ⋮ The continuous-time limit of score-driven volatility models ⋮ Two classes of dynamic binomial integer-valued ARCH models ⋮ Maximum likelihood estimation for score-driven models

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