13-097/IV - Stationarity and Ergodicity Regions for Score Driven Dynamic Correlation Models

• Authors
  Francisco Blasques, VU University Amsterdam; Andre Lucas, VU University Amsterdam; Erkki Silde, VU University Amsterdam, and Duisenberg school of finance
• Publication date
  July 19, 2013

• Keywords
  dynamic copulas, generalized autoregressive score (GAS) models, stochastic recurrence equations, observation driven models, contraction properties
• JEL
  C22, C32, C58