Score-driven models have been applied in some 400 published articles over the last decade. Much of this literature cites the optimality result in Blasques et al. (2015), which, roughly, states that sufficiently small score-driven updates are unique in locally reducing the Kullback-Leibler (KL)...

The COVID-19 (coronavirus disease of 2019) pandemic is over; however, the probability of such a pandemic is about 2% in any year. There are international negotiations among almost 200 countries at the World Health Organization (WHO) concerning a global plan to deal with the next pandemic on the...

Score-driven models have been applied in some 400 published articles over the last decade. Much of this literature cites the optimality result in Blasques et al. (2015), which, roughly, states that sufficiently small score-driven updates are unique in locally reducing the Kullback-Leibler (KL)...

We propose a novel dynamic mixture vector autoregressive (VAR) model in which time-varying mixture weights are driven by the predictive likelihood score. Intuitively, the state weight of the k-th component VAR model in the subsequent period is increased if the current observation is more likely...