Journal Article

GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS

Koopman, Siem Jan, Lucas, André, Creal, Drew

2013

Overview

We propose a class of observation-driven time series models referred to as generalized autoregressive score (GAS) models. The mechanism to update the parameters over time is the scaled score of the likelihood function. This new approach provides a unified and consistent framework for introducing time-varying parameters in a wide class of nonlinear models. The GAS model encompasses other well-known models such as the generalized autoregressive conditional heteroskedasticity, autoregressive conditional duration, autoregressive conditional intensity, and Poisson count models with time-varying mean. In addition, our approach can lead to new formulations of observation-driven models. We illustrate our framework by introducing new model specifications for time-varying copula functions and for multi variate point processes with time-vary ing parameters. We study the models in detail and provide simulation and empirical evidence.

• Publisher: Blackwell Publishing Ltd,John Wiley & Sons,Wiley-Blackwell,Wiley Periodicals Inc
• Subject: Classroom observation / Copulas / Econometric models / Econometrics / Mathematical functions / Multivariate analysis / Non-linear models / Nonlinear analysis / Parameter estimation / Probability / Regression analysis / Simulation / Studies / Time / Time series / Vector-autoregressive models