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12-059/4 - Stationarity and Ergodicity of Univariate Generalized Autoregressive Score Processes


  • Authors
    Francisco Blasques, VU University Amsterdam; Siem Jan Koopman, VU University Amsterdam; Andre Lucas, VU University Amsterdam
  • Publication date
    June 22, 2012
  • Keywords
    Dudley integral, Durations, Higher-order models, Nonlinear dynamics, Time-varying parameters, Volatility
  • JEL
    C13, C22, C58