Dynamic conditional score models of degrees of freedom: filtering with score-driven heavy tails
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DOI: 10.1080/00036846.2017.1307935
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Cited by:
- Ayala Astrid & Blazsek Szabolcs & Escribano Alvaro, 2023. "Anticipating extreme losses using score-driven shape filters," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 27(4), pages 449-484, September.
- Ayala, Astrid & Blazsek, Szabolcs & Escribano, Álvaro, 2019. "Score-driven time series models with dynamic shape : an application to the Standard & Poor's 500 index," UC3M Working papers. Economics 28133, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Palumbo, D., 2021. "Testing and Modelling Time Series with Time Varying Tails," Cambridge Working Papers in Economics 2111, Faculty of Economics, University of Cambridge.
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