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Information-theoretic optimality of observation-driven time series models for continuous responses
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this work references cited by second hop

References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1998Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data1,817 cited
  • 2012GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS988 cited
  • 2002New frontiers for arch models739 cited
  • 1986The Measurement and Decomposition of Multi-Dimensional Inequality515 cited
  • 2013Dynamic Models for Volatility and Heavy Tails430 cited
  • 2005Stochastic volatility : selected readings333 cited
  • 2011A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations293 cited
  • 2005Stochastic Volatility264 cited
  • 2013Dynamic Models for Volatility and Heavy Tails: With Applications to Financial and Economic Time Series187 cited
  • 1994Asypmtotic Filtering Theory for Univariate Arch Models171 cited

Cited by

  • 2012Predicting Time-Varying Parameters with Parameter-Driven and Observation-Driven Models152 cited
  • 2014Spillover Dynamics for Systemic Risk Measurement Using Spatial Financial Time Series Models139 cited
  • 2021

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Maximum likelihood estimation for score-driven models
91 cited
  • 2016Tail Risk Dynamics in Stock Returns: Links to the Macroeconomy and Global Markets Connectedness87 cited
  • 2016New HEAVY Models for Fat-Tailed Realized Covariances and Returns83 cited
  • 2014Maximum Likelihood Estimation for Generalized Autoregressive Score Models63 cited
  • 2015Score Driven Exponentially Weighted Moving Averages and Value-at-Risk Forecasting53 cited
  • 2018Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model*52 cited
  • 2020A Score-Driven Conditional Correlation Model for Noisy and Asynchronous Data: An Application to High-Frequency Covariance Dynamics48 cited
  • 2016Modeling high‐dimensional time‐varying dependence using dynamic D‐vine models45 cited
  • 2018Dynamic discrete copula models for high‐frequency stock price changes44 cited
  • 2016Modeling Financial Sector Joint Tail Risk in the Euro Area41 cited
  • 2023Modeling and Forecasting Macroeconomic Downside Risk40 cited
  • 2020Closed-Form Multi-Factor Copula Models With Observation-Driven Dynamic Factor Loadings37 cited
  • 2021COVID-19 and currency dependences: Empirical evidence from BRICS34 cited
  • 2017Five different distributions for the Lee–Carter model of mortality forecasting: A comparison using GAS models22 cited