A stochastic recurrence equations approach for score driven correlation models
Francisco Blasques, André Lucas and Erkki Silde
| Year of publication: |
2018
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|---|---|
| Authors: | Blasques, Francisco ; Lucas, André ; Silde, Erkki |
| Published in: |
Econometric reviews. - Philadelphia, Pa. : Taylor & Francis, ISSN 0731-1761, ZDB-ID 797463-2. - Vol. 37.2018, 1/5, p. 166-181
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| Subject: | Asymptotic normality | consistency | dynamic copulas | generalized autoregressive score models | observation driven models | stochastic recurrence equations | Stochastischer Prozess | Stochastic process | Multivariate Verteilung | Multivariate distribution | Zeitreihenanalyse | Time series analysis | Schätztheorie | Estimation theory | Korrelation | Correlation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/07474938.2016.1139821 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012038166