Stationarity and ergodicity regions for score driven dynamic correlation models

Francisco Blasques; André Lucas; Erkki Silde

Year of publication:	2013
Authors:	Blasques, Francisco ; Lucas, André ; Silde, Erkki
Publisher:	Rotterdam
Subject:	Dynamic copulas \| Generalized autoregressive score (GAS) models \| Stochastic recurrence equations \| Observation driven models \| Contraction properties \| Dudley entropy integral \| Zeitreihenanalyse \| Time series analysis \| Stochastischer Prozess \| Stochastic process \| Volatilität \| Volatility \| Theorie \| Theory

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