de Punder, Ramon; Dimitriadis, Timo; Lange, Rutger-Jan - 2024
Score-driven models have been applied in some 400 published articles over the last decade. Much of this literature cites the optimality result in Blasques et al. (2015), which, roughly, states that sufficiently small score-driven updates are unique in locally reducing the Kullback-Leibler (KL)...