14-046/III - Information Theoretic Optimality of Observation Driven Time Series Models

• Authors
  Francisco Blasques, VU University Amsterdam; Siem Jan Koopman, VU University Amsterdam, the Netherlands, and CREATES, Aarhus University, Denmark; André Lucas, VU University Amsterdam
• Publication date
  April 11, 2014

• Keywords
  generalized autoregressive models, information theory, optimality, Kullback-Leibler distance, volatility models
• JEL
  C12, C22