score-driven-models

Score-driven models, aka generalized autoregressive score models, in Julia

An implementation of a novel Dynamic Clustering Model for multivariate panel data. This package provides the statistical framework to identify and track latent, time-varying group structures in high-dimensional panels.

Repo of the coding part of my master thesis on Implied volatlity surfaces

Discussion of the paper "COVID-19 Active Case Forecasts in Latin American Countries Using Score-Driven Models (Contreras-Espinoza et al., 2023)" with an application to COVID-19 Bologna data

Website of Carlotta Pacifici, Research fellow at Bocconi University, working on extreme value analysis. PhD in statistics from the University of Bologna.