17-059/III - Accelerating GARCH and Score-Driven Models: Optimality, Estimation and Forecasting

• Authors
  Francisco (F.) Blasques, VU Amsterdam, The Netherlands; Tinbergen Institute, The Netherlands; Paolo Gorgi, VU Amsterdam, The Netherlands; Siem Jan (S.J.) Koopman, VU Amsterdam, The Netherlands; CREATES, Aarhus University, Denmark
• Publication date
  July 5, 2017

• Keywords
  GARCH models, Kullback-Leibler divergence, score-driven models, S&P 500 stocks, time-varying parameters, US inflation.
• JEL
  C22, G11