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14-029/III - Maximum Likelihood Estimation for Score-Driven Models


  • Authors
    Francisco Blasques, VU University Amsterdam; Siem Jan Koopman, VU University Amsterdam; Andre Lucas, VU University Amsterdam
  • Publication date
    March 4, 2014
  • Keywords
    score-driven models, time-varying parameters, Markov processes, stationarity, invertibility, consistency, asymptotic normality
  • JEL
    C13, C22, C12