Quasi score-driven models

Author:

Blasques F.,Francq Christian,Laurent Sébastien

Publisher

Elsevier BV

Subject

Applied Mathematics,Economics and Econometrics

Reference39 articles.

1. Efficient estimation of models with conditional moment restrictions containing unknown functions;Ai;Econometrica,2003

2. Volatility during the financial crisis through the lens of high frequency data: A realized GARCH approach;Banulescu-Radu,2018

3. The MM, ME, ML, EL, EF and GMM approaches to estimation: A synthesis;Bera;J. Econometrics,2002

4. Blasques, F., Brummelen, J., Koopman, S.J., Lucas, A., 2020. Maximum likelihood estimation of score-driven time series models. Tinbergen institute discussion paper.

5. Blasques, F., Francq, C., Laurent, S., 2020. A new class of robust observation-driven models. Tinbergen institute discussion paper No. 20-073/III.

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