The continuous-time limit of score-driven volatility models
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Cited in
(6)- Accelerating score-driven time series models
- A stochastic recurrence equations approach for score driven correlation models
- Information-theoretic optimality of observation-driven time series models for continuous responses
- A note on diffusion limits for stochastic gradient descent
- Consistency, distributional convergence, and optimality of time-varying parameters in score-driven models
- The continuous-time limit of quasi score-driven volatility models
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