Maximum likelihood estimation for score-driven models
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Publication:2116342
DOI10.1016/J.JECONOM.2021.06.003OpenAlexW3185976637MaRDI QIDQ2116342FDOQ2116342
Authors: Francisco Blasques, Janneke van Brummelen, Siem Jan Koopman, André Lucas 
Publication date: 16 March 2022
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://papers.tinbergen.nl/14029.pdf
Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)
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Cited In (18)
- Anticipating extreme losses using score-driven shape filters
- Comparison of score-driven equity-gold portfolios during the COVID-19 pandemic using model confidence sets
- Signal smoothing for score-driven models: a linear approach
- Score-driven multi-regime Markov-switching EGARCH: empirical evidence using the Meixner distribution
- Dynamic partial correlation models
- Score-driven location plus scale models: asymptotic theory and an application to forecasting Dow Jones volatility
- Score-driven models for realized volatility
- Score-driven asset pricing: predicting time-varying risk premia based on cross-sectional model performance
- Modelling circular time series
- Maximum likelihood estimation for non-stationary location models with mixture of normal distributions
- Observation-driven filtering of time-varying parameters using moment conditions
- Modeling Extreme Events: Time-Varying Extreme Tail Shape
- Modeling and Forecasting Macroeconomic Downside Risk
- LOCAL ASYMPTOTIC NORMALITY OF GENERAL CONDITIONALLY HETEROSKEDASTIC AND SCORE-DRIVEN TIME-SERIES MODELS
- Max-Plus Algebraic Statistical Leverage Scores
- Multiway clustering with time-varying parameters
- On the relationships between sum score based estimation and joint maximum likelihood estima\-tion
- Quasi score-driven models
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