A stochastic recurrence equations approach for score driven correlation models (Q5034245)
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scientific article; zbMATH DE number 7481019
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A stochastic recurrence equations approach for score driven correlation models |
scientific article; zbMATH DE number 7481019 |
Statements
A stochastic recurrence equations approach for score driven correlation models (English)
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24 February 2022
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asymptotic normality
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consistency
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dynamic copulas
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generalized autoregressive score models
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observation driven models
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stochastic recurrence equations
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