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Information Theoretic Optimality of Observation Driven Time Series Models
34/34 checkable references clean · checked 2026-08-27
Every reference with a DOI in the deposited reference list resolved to a known work in Crossref or DataCite at the dated check, and none carried a retraction, withdrawal, or removal notice.
3 without a DOI — not checked. A reference deposited without a DOI is never matched by title or guessed at; it stays outside the checked set, and this line discloses that.
The 34 checked references that resolve
resolves10.1007/978-1-4612-0919-5_38
Information Theory and an Extension of the Maximum Likelihood Principle
resolves10.2139/ssrn.2089452
Stationarity and Ergodicity of Univariate Generalized Autoregressive Score Processes
resolves10.2139/ssrn.2404276
Maximum Likelihood Estimation for Generalized Autoregressive Score Models
resolves10.2139/ssrn.1297183
A General Framework for Observation Driven Time-Varying Parameter Models
resolves10.1198/jbes.2011.10070
A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations
resolves10.2139/ssrn.1765764
Observation Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk
resolves10.1093/biomet/84.3.669
Monte Carlo maximum likelihood estimation for non-Gaussian state space models
resolves10.2307/1912773
Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
resolves10.2307/2999632
Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
resolves10.2139/ssrn.2016266
Predicting Time-Varying Parameters with Parameter-Driven and Observation-Driven Models
resolves10.2139/ssrn.2264249
Measuring Credit Risk in a Large Banking System: Econometric Modeling and Empirics
resolves10.1109/TAC.1975.1100882
Approximate non-Gaussian filtering with linear state and observation relations
resolves10.1111/j.1467-937x.2010.00603.x
Efficient Estimation of the Parameter Path in Unstable Time Series Models
resolves10.2139/ssrn.2269405
Time-Varying Systemic Risk: Evidence from a Dynamic Copula Model of CDS Spreads
resolves10.1016/0378-3758(95)00034-8
Entropy, divergence and distance measures with econometric applications
resolves10.1016/s0304-4076(01)00126-9
Uses of entropy and divergence measures for evaluating econometric approximations and inference
The 3 references without a DOI — listed, not checked
no DOI — not checkedComputation of maximum likelihood estimates for score driven models for positive valued observations
no DOI — not checkedStatistical analysis of time series: some recent developments
no DOI — not checkedref27
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