25-027/III - Functional Location-Scale Models with Robust Observation-Driven Dynamics

• Authors
  Yicong Lin, Vrije Universiteit Amsterdam; Andre Lucas, Vrije Universiteit Amsterdam
• Publication date
  April 17, 2025

• Keywords
  time variation, location-scale, functional score-driven dynamics, sparse data, outlier robustness
• JEL
  C22, C58, Q56