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17-111/III - Finite Sample Optimality of Score-Driven Volatility Models


  • Authors
    Francisco (F.) Blasques, VU Amsterdam; Tinbergen Institute, The Netherlands; Andre (A.) Lucas, VU Amsterdam; Tinbergen Institute, The Netherlands; Andries van Vlodrop, VU Amsterdam; Tinbergen Institute, The Netherlands
  • Publication date
    November 24, 2017
  • Keywords
    Volatility models, score-driven dynamics, finite samples, Kullback-Leibler divergence, optimality.
  • JEL
    C01 C18 C20