Arbeitspapier
Stationarity and Ergodicity of Univariate Generalized Autoregressive Score Processes
We characterize the dynamic properties of Generalized Autoregressive Score (GAS) processes by identifying regions of the parameter space that imply stationarity and ergodicity. We show how these regions are affected by the choice of parameterization and scaling, which are key features of GAS models compared to other observation driven models. The Dudley entropy integral is used to ensure the non-degeneracy of such regions. Furthermore, we show how to obtain bounds for these regions in models for time-varying means, variances, or higher-order moments.
- Language
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Englisch
- Bibliographic citation
-
Series: Tinbergen Institute Discussion Paper ; No. 12-059/4
- Classification
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Wirtschaft
Estimation: General
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Financial Econometrics
- Subject
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Dudley integral
Durations
Higher-order models
Nonlinear dynamics
Time-varying parameters
Volatility
Zeitreihenanalyse
Entropie
Stochastischer Prozess
Volatilität
Theorie
- Event
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Geistige Schöpfung
- (who)
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Blasques, Francisco
Koopman, Siem Jan
Lucas, Andre
- Event
-
Veröffentlichung
- (who)
-
Tinbergen Institute
- (where)
-
Amsterdam and Rotterdam
- (when)
-
2012
- Handle
- Last update
-
10.03.2025, 11:42 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Blasques, Francisco
- Koopman, Siem Jan
- Lucas, Andre
- Tinbergen Institute
Time of origin
- 2012
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Generalized Autoregressive Method of Moments
Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model
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A Dynamic Bivariate Poisson Model for Analysing and Forecasting Match Results in the English Premier League
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