Missing observations in observation-driven time series models
Year of publication: |
2021
|
---|---|
Authors: | Blasques, F. ; Gorgi, P. ; Koopman, Siem Jan |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 221.2021, 2, p. 542-568
|
Subject: | Consistency | Indirect inference | Missing data | Observation-driven models | Volatility | Zeitreihenanalyse | Time series analysis | Schätztheorie | Estimation theory | Volatilität |
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