Caivano, Michele; Harvey, Andrew C.; Luati, Alessandra - In: SERIEs : Journal of the Spanish Economic Association 7 (2016) 1, pp. 99-120
We describe observation driven time series models for Student-t and EGB2 conditional distributions in which the signal is a linear function of past values of the score of the conditional distribution. These specifications produce models that are easy to implement and deal with outliers by what...