15-027/III - In-Sample Bounds for Time-Varying Parameters of Observation Driven Models

• Authors
  Francisco Blasques, VU University Amsterdam; Siem Jan Koopman, VU University Amsterdam; Katarzyna Lasak, VU University Amsterdam; André Lucas, VU University Amsterdam
• Publication date
  February 23, 2015

• Keywords
  autoregressive conditional duration, delta-method, generalized autoregressive conditional heteroskedasticity, score driven models, time-varying mean
• JEL
  C15, C22, C58