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Econometric Reviews Volume 37, 2018 - Issue 2

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Original Articles

A stochastic recurrence equations approach for score driven correlation models

Francisco BlasquesVrije Universiteit Amsterdam and Tinbergen Institute, Amsterdam, The Netherlands

André LucasVrije Universiteit Amsterdam and Tinbergen Institute, Amsterdam, The Netherlands

Erkki SildeVrije Universiteit Amsterdam and Tinbergen Institute, Amsterdam, The NetherlandsCorrespondence[email protected] [email protected]

Pages 166-181 | Published online: 15 Apr 2016

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https://doi.org/10.1080/07474938.2016.1139821
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A stochastic recurrence equations approach for score driven correlation models

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