17-111/III - Finite Sample Optimality of Score-Driven Volatility Models

• Authors
  Francisco (F.) Blasques, VU Amsterdam; Tinbergen Institute, The Netherlands; Andre (A.) Lucas, VU Amsterdam; Tinbergen Institute, The Netherlands; Andries van Vlodrop, VU Amsterdam; Tinbergen Institute, The Netherlands
• Publication date
  November 24, 2017

• Keywords
  Volatility models, score-driven dynamics, finite samples, Kullback-Leibler divergence, optimality.
• JEL
  C01 C18 C20