Accelerating score-driven time series models
F. Blasques, P. Gorgi, S.J. Koopman
| Year of publication: |
2019
|
|---|---|
| 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. 212.2019, 2, p. 359-376
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| Subject: | GARCH models | Kullback–Leibler divergence | S&P 500 stocks | Score-driven models | Time-varying parameters | US inflation | ARCH-Modell | ARCH model | Zeitreihenanalyse | Time series analysis | USA | United States | Volatilität | Volatility | Inflation | Inflationsrate | Inflation rate | Theorie | Theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2019.03.005 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012304023