Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/87414
Authors: 
Blasques, Francisco
Koopman, Siem Jan
Lucas, Andre
Year of Publication: 
2012
Series/Report no.: 
Tinbergen Institute Discussion Paper 12-059/4
Abstract: 
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.
Subjects: 
Dudley integral
Durations
Higher-order models
Nonlinear dynamics
Time-varying parameters
Volatility
JEL: 
C13
C22
C58
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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