Accounting for Missing Values in Score-Driven Time-Varying Parameter Models
نویسندگان
چکیده
منابع مشابه
Accounting for Missing Values in Score- Driven Time-Varying Parameter Models
We show that two alternative perspectives on how to deal with missing data in the context of the score-driven timevarying parameter models of Creal et al. (2013) and Harvey (2013) lead to precisely the same dynamic transition equations. As score-driven models encompass a wide variety of time-varying parameter models (including generalized autoregressive conditional volatility (GARCH) and durati...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2016
ISSN: 1556-5068
DOI: 10.2139/ssrn.2831967