24-051/III - Kullback-Leibler-based characterizations of score-driven updates

• Authors
  Ramon de Punder, University of Amsterdam; Timo Dimitriadis, Heidelberg University; Rutger-Jan Lange, Erasmus University Rotterdam
• Publication date
  August 6, 2024

• Keywords
  generalized autoregressive score (GAS), dynamic conditional score (DCS), Kullback Leibler, censoring, scoring rule, divergence
• JEL
  C10, C22, C58