12-059/4 - Stationarity and Ergodicity of Univariate Generalized Autoregressive Score Processes

• Authors
  Francisco Blasques, VU University Amsterdam; Siem Jan Koopman, VU University Amsterdam; Andre Lucas, VU University Amsterdam
• Publication date
  June 22, 2012

• Keywords
  Dudley integral, Durations, Higher-order models, Nonlinear dynamics, Time-varying parameters, Volatility
• JEL
  C13, C22, C58