A0322
Title: A new way to specify dynamic models
Authors: Leopoldo Catania - Aarhus BBS (Denmark) [presenting]
Abstract: A new general class of models, which lies between observation-driven and parameter-driven models, is presented. Several examples are discussed in the context of conditional mean and variance specifications. Conditions for strong stationarity and the existence of moments are derived. Consistency and asymptotic normality of the maximum likelihood estimator are derived for the general model specification and for specific examples. An application in financial econometrics shows the usefulness of the proposed class of models.
