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15-027/III - In-Sample Bounds for Time-Varying Parameters of Observation Driven Models


  • Authors
    Francisco Blasques, VU University Amsterdam; Siem Jan Koopman, VU University Amsterdam; Katarzyna Lasak, VU University Amsterdam; André Lucas, VU University Amsterdam
  • Publication date
    February 23, 2015
  • Keywords
    autoregressive conditional duration, delta-method, generalized autoregressive conditional heteroskedasticity, score driven models, time-varying mean
  • JEL
    C15, C22, C58