Franco Flandoli

Scuola Normale Superiore

Piazza dei Cavalieri, 7

Pisa, 56126

Italy

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Scholarly Papers (1)

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The Continuous-Time Limit of Score-Driven Volatility Models

Number of pages: 44 Posted: 13 Jun 2019
University of Rome Tor Vergata, University of Pisa - Department of Economics, Scuola Normale Superiore and Scuola Normale Superiore
Downloads 43 (432,296)

Abstract:

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Weak diffusion limits, Score-driven models, Student-t, General error distribution