14-074/III - Maximum Likelihood Estimation for correctly Specified Generalized Autoregressive Score Models: Feedback Effects, Contraction Conditions and Asymptotic Properties

• Authors
  Francisco Blasques, VU University Amsterdam, the Netherlands; Siem Jan Koopman, VU University Amsterdam, the Netherlands; André Lucas, VU University Amsterdam, the Netherlands, Aarhus University, Denmark
• Publication date
  June 20, 2014

• Keywords
  Observation-driven models, stochastic recurrence equations, contraction conditions, invertibility, stationarity, ergodicity, generalized autoregressive score models
• JEL
  C12, C13, C22