Stationarity and ergodicity of univariate generalized autoregressive score processes
DOI10.1214/14-EJS924zbMATH Open1309.60034OpenAlexW3121430753MaRDI QIDQ405328FDOQ405328
Authors: Francisco Blasques, Siem Jan Koopman, André Lucas 
Publication date: 5 September 2014
Published in: Electronic Journal of Statistics (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/euclid.ejs/1407243244
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ergodicitystationaritynonlinear dynamicsstochastic recurrence equationsautoregressive score processtime-varying higher-order momentstime-varying means
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84) Stationary stochastic processes (60G10)
Cites Work
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Cited In (15)
- Time-Varying Systemic Risk: Evidence From a Dynamic Copula Model of CDS Spreads
- Stochastic properties of nonlinear locally-nonstationary filters
- Missing observations in observation-driven time series models
- Bimodal Birnbaum–Saunders generalized autoregressive score model
- Maximum likelihood estimation for score-driven models
- Feasible invertibility conditions and maximum likelihood estimation for observation-driven models
- Two classes of dynamic binomial integer-valued ARCH models
- Time‐Varying Transition Probabilities for Markov Regime Switching Models
- Weighted maximum likelihood for dynamic factor analysis and forecasting with mixed frequency data
- Semiparametric score driven volatility models
- Clustering of arrivals in queueing systems: autoregressive conditional duration approach
- Dynamic factor copula models with estimated cluster assignments
- Generalized quasi maximum likelihood estimation for generalized autoregressive score models: simulations and real applications
- Commercial and residential mortgage defaults: spatial dependence with frailty
- A stochastic recurrence equations approach for score driven correlation models
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