Creal, D.

model parameter copula gas model time-varying score 10.1002/ jae speci function autoregressive patton process fication dependence example mechanism gas speci fication factor density rating matrix vector engle point likelihood wiley intensity copula models gas framework value journal 10.1002/ series equation copyright time-varying parameters econometrics observation-driven models framework correlation observation observation-driven transition distribution multivariate koopman estimate university time t estimation credit information creal default garch variance gaussian choice clayton copula error ficient clayton result difference gas models class autoregressive score models probability ft þ1 ¼ dollar russell score function property approach section log-likelihood credit rating transitions element time series models bivariate gaussian copula