Maximum likelihood estimation of score-driven models with dynamic shape parameters : an application to Monte Carlo value-at-risk Working Papers

authors

Ayala, Astrid
BLAZSEK, SZABOLCS ISTVAN
ESCRIBANO SAEZ, ALVARO

publication date

2019

series title

Working paper. Economics

full text

http://hdl.handle.net/10016/28638

series number

19-12

keywords

dynamic conditional score models; score-driven shape parameters; value-at-risk; outliers