1. Quasi score-driven models
- Author
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F. Blasques, Christian Francq, Sébastien Laurent, VU University Medical Center [Amsterdam], Centre de Recherche en Économie et Statistique (CREST), Ecole Nationale de la Statistique et de l'Analyse de l'Information [Bruz] (ENSAI)-École polytechnique (X)-École Nationale de la Statistique et de l'Administration Économique (ENSAE Paris)-Centre National de la Recherche Scientifique (CNRS), Aix-Marseille Sciences Economiques (AMSE), École des hautes études en sciences sociales (EHESS)-Aix Marseille Université (AMU)-École Centrale de Marseille (ECM)-Centre National de la Recherche Scientifique (CNRS), Francisco Blasques acknowledges the financial support of the Dutch Science Foundation (NWO) under grant Vidi.195.099. Sébastien acknowledges research support by the French National Research Agency Grant ANR-17-EURE-0020, and by the Excellence Initiative of Aix-Marseille University - A*MIDEX. Christian and Sébastien also acknowledge research support by the French National Research Agency Grant ANR-21-CE26-0007-01. Christian also thanks the ECODEC labex ., ANR-17-EURE-0020,AMSE (EUR),Aix-Marseille School of Economics(2017), ANR-11-IDEX-0001,Amidex,INITIATIVE D'EXCELLENCE AIX MARSEILLE UNIVERSITE(2011), and ANR-21-CE26-0007,MLEforRisk,Machine Learning et Econométrie pour la Mesure des Risques en Finance(2021)
- Subjects
Economics and Econometrics ,GARCH ,JEL: C - Mathematical and Quantitative Methods/C.C5 - Econometric Modeling/C.C5.C53 - Forecasting and Prediction Methods • Simulation Methods ,Score-driven models ,Applied Mathematics ,QLE ,JEL: C - Mathematical and Quantitative Methods/C.C1 - Econometric and Statistical Methods and Methodology: General/C.C1.C13 - Estimation: General ,Asymmetry ,QMLE ,JEL: C - Mathematical and Quantitative Methods/C.C5 - Econometric Modeling/C.C5.C58 - Financial Econometrics ,[SHS.ECO]Humanities and Social Sciences/Economics and Finance ,JEL: C - Mathematical and Quantitative Methods/C.C3 - Multiple or Simultaneous Equation Models • Multiple Variables/C.C3.C32 - Time-Series Models • Dynamic Quantile Regressions • Dynamic Treatment Effect Models • Diffusion Processes • State Space Models ,Fat-tails - Abstract
International audience; This paper introduces the class of quasi score-driven (QSD) models. This new class inherits and extends the basic ideas behind the development of score-driven (SD) models and addresses a number of unsolved issues in the score literature. In particular, the new class of models (i) generalizes many existing models, including SD models, (ii) disconnects the updating equation from the log-likelihood implied by the conditional density of the observations, (iii) allows testing of the assumptions behind SD models that link the updating equation of the conditional moment to the conditional density, (iv) allows QML estimation of SD models, (v) and allows explanatory variables to enter the updating equation. We establish the asymptotic properties of the QLE, QMLE and MLE of the proposed QSD model as well as the likelihood ratio and Lagrange multiplier test statistics. The finite sample properties are studied by means of an extensive Monte Carlo study. Finally, we show the empirical relevance of QSD models to estimate the conditional variance of 400 US stocks.
- Published
- 2023