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18-013/III - Missing Observations in Observation-Driven Time Series Models


  • Authors
    Francisco (F.) Blasques, VU Amsterdam, The Netherlands; Paolo Gorgi, VU Amsterdam, The Netherlands; Siem Jan (S.J.) Koopman, VU Amsterdam, The Netherlands
  • Publication date
    February 9, 2018
  • Keywords
    missing data, observation-driven models, consistency, indirect inference, volatility
  • JEL
    C22, C58