paper we argue that this equivalence is almost immediate when a Gaussian score-driven location model is considered. We also …

paper we argue that this equivalence is almost immediate when a Gaussian score-driven location model is considered. We also …

. Instead of efficiency scores, we propose to model rankings in the second stage using a dynamic ranking model in the score-driven …

We study the in-fill asymptotics of score-driven time series models. For general forms of model mis-specification, we … show that score-driven filters are consistent for the Kullback-Leibler (KL) optimal time-varying parameter path, which … directly implies that for a correctly specified predictive conditional density, score-driven filters consistently estimate the …

This paper introduces a novel score-driven dynamic factor model designed for filtering cross-sectional co-movements in …