Finite Sample Optimality of Score-Driven Volatility Models
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- Carlo Campajola & Domenico Di Gangi & Fabrizio Lillo & Daniele Tantari, 2020. "Modelling time-varying interactions in complex systems: the Score Driven Kinetic Ising Model," Papers 2007.15545, arXiv.org, revised Aug 2021.
- Domenico Di Gangi & Giacomo Bormetti & Fabrizio Lillo, 2022. "Score Driven Generalized Fitness Model for Sparse and Weighted Temporal Networks," Papers 2202.09854, arXiv.org, revised Mar 2022.
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More about this item
Keywords
Volatility models; score-driven dynamics; finite samples; Kullback-Leibler divergence; optimality.;All these keywords.
JEL classification:
- C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
- C18 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Methodolical Issues: General
- C20 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - General
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2017-12-03 (Econometrics)
- NEP-ETS-2017-12-03 (Econometric Time Series)
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