Title A General Framework for Observation Driven Time-Varying Parameter Models

@inproceedings{Creal2008TitleAG,
  title={Title A General Framework for Observation Driven Time-Varying Parameter Models},
  author={Drew D. Creal and Siem Jan Koopman and Andr{\'e} Lucas},
  year={2008}
}
We propose a new class of observation driven time series models that we refer to as Generalized Autoregressive Score (GAS) models. The driving mechanism of the GAS model is the scaled likelihood score. This provides a unified and consistent framework for introducing time-varying parameters in a wide class of non-linear models. The GAS model encompasses other well-known models such as the generalized autoregressive conditional heteroskedasticity, autoregressive conditional duration… CONTINUE READING

References

Publications referenced by this paper.
SHOWING 1-10 OF 50 REFERENCES

Parsimonious modelling of yield curves

  • C. R. Nelson, A. Siegel
  • Journal of Business 60 (4), 473–489.
  • 1987
Highly Influential
4 Excerpts

Similar Papers

Loading similar papers…