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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
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