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Accelerating score-driven time series models
Blasques, F.; Gorgi, P.; Koopman, Siem Jan - In: Journal of econometrics 212 (2019) 2, pp. 359-376
Persistent link: https://www.econbiz.de/10012304023
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Autoregressive conditional betas
Blasques, F.; Francq, Christian; Laurent, Sébastien - In: Journal of econometrics 238 (2024) 2, pp. 1-22
Persistent link: https://www.econbiz.de/10015073921
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Quasi score-driven models
Blasques, F.; Francq, Christian; Laurent, Sébastien - In: Journal of econometrics 234 (2023) 1, pp. 251-275
Persistent link: https://www.econbiz.de/10014364807