25-006/III - Stability and performance guarantees for misspecified multivariate score-driven filters

• Authors
  Simon Donker van Heel, Erasmus University Rotterdam; Rutger-Jan Lange, Erasmus University Rotterdam; Dick van Dijk, Erasmus University Rotterdam; Bram van Os, Vrije Universiteit Amsterdam
• Publication date
  February 5, 2025

• Keywords
  Explicit and implicit-gradient methods; error bounds; pseudo-true parameters
• JEL
  C1, C32, C61