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13-097/IV - Stationarity and Ergodicity Regions for Score Driven Dynamic Correlation Models


  • Authors
    Francisco Blasques, VU University Amsterdam; Andre Lucas, VU University Amsterdam; Erkki Silde, VU University Amsterdam, and Duisenberg school of finance
  • Publication date
    July 19, 2013
  • Keywords
    dynamic copulas, generalized autoregressive score (GAS) models, stochastic recurrence equations, observation driven models, contraction properties
  • JEL
    C22, C32, C58