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17-059/III - Accelerating GARCH and Score-Driven Models: Optimality, Estimation and Forecasting


  • Authors
    Francisco (F.) Blasques, VU Amsterdam, The Netherlands; Tinbergen Institute, The Netherlands; Paolo Gorgi, VU Amsterdam, The Netherlands; Siem Jan (S.J.) Koopman, VU Amsterdam, The Netherlands; CREATES, Aarhus University, Denmark
  • Publication date
    July 5, 2017
  • Keywords
    GARCH models, Kullback-Leibler divergence, score-driven models, S&P 500 stocks, time-varying parameters, US inflation.
  • JEL
    C22, G11