14-029/III - Maximum Likelihood Estimation for Score-Driven Models

• Authors
  Francisco Blasques, VU University Amsterdam; Siem Jan Koopman, VU University Amsterdam; Andre Lucas, VU University Amsterdam
• Publication date
  March 4, 2014

• Keywords
  score-driven models, time-varying parameters, Markov processes, stationarity, invertibility, consistency, asymptotic normality
• JEL
  C13, C22, C12