18-013/III - Missing Observations in Observation-Driven Time Series Models

• Authors
  Francisco (F.) Blasques, VU Amsterdam, The Netherlands; Paolo Gorgi, VU Amsterdam, The Netherlands; Siem Jan (S.J.) Koopman, VU Amsterdam, The Netherlands
• Publication date
  February 9, 2018

• Keywords
  missing data, observation-driven models, consistency, indirect inference, volatility
• JEL
  C22, C58