Time-Varying Parameters in Econometrics: The editor’s foreword

Time-Varying Parameters in Econometrics: The editor’s foreword

The Themed Issue Time-Varying Parameters in Econometrics consists of eight papers where theoretical, methodological and empirical developments are reported. Particular attention is given to observation-driven time-varying parameter models of which score-driven models is a sub-class. We will introduc...

Ausführliche Beschreibung

Gespeichert in:
Bibliographische Detailangaben
Veröffentlicht in:Journal of econometrics 2023-12, Vol.237 (2), p.105439, Article 105439
Hauptverfasser: Blasques, F., Harvey, A.C., Koopman, S.J., Lucas, A.
Format: Artikel
Sprache:eng
Schlagworte:
econometrics
Financial econometrics
Observation-driven time series models
Score-driven time series models
wills
Online-Zugang:Volltext
Tags: Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
Beschreibung
Zusammenfassung:The Themed Issue Time-Varying Parameters in Econometrics consists of eight papers where theoretical, methodological and empirical developments are reported. Particular attention is given to observation-driven time-varying parameter models of which score-driven models is a sub-class. We will introduce the Themed Issue and review its contributions.
ISSN:0304-4076
1872-6895
DOI:10.1016/j.jeconom.2023.03.007