Accelerating score-driven time series models (Q2330723)

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Accelerating score-driven time series models
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    Accelerating score-driven time series models (English)
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    23 October 2019
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    GARCH models
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    Kullback-Leibler divergence
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    score-driven models
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    S\&P 500 stocks
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    time-varying parameters
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    US inflation
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