Maximum likelihood estimation of score-driven models with dynamic shape parameters : an application to Monte Carlo value-at-risk

Astrid Ayala, Szabolcs Blazsek, and Alvaro Escribano

Year of publication:	[2019]
Authors:	Ayala, Astrid ; Blazsek, Szabolcs ; Escribano, Álvaro
Publisher:	[Getafe (Spain)] : UC3M, Universidad Carlos III de Madrid
Subject:	Zeitreihenanalyse \| Time series analysis \| Kapitalmarktrendite \| Capital market returns \| Aktienindex \| Stock index \| Monte-Carlo-Simulation \| Monte Carlo simulation \| USA \| United States

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