Continuous financing of illicit activities (drug and human trafficking, child abuse,
cybercrimes) through Bitcoin nurtures the ethical risk of investors. Building on this argument …

We propose a class of observation‐driven time series models referred to as generalized
autoregressive score (GAS) models. The mechanism to update the parameters over time is …

We examine the asymmetric and extreme tail dependence between five energy markets
(crude oil, natural gas, heating oil, gasoline, and coal) and green bonds using a time-varying …

We propose a new class of observation-driven time-varying parameter models for dynamic
volatilities and correlations to handle time series from heavy-tailed distributions. The model …

We investigate information-theoretic optimality properties of the score function of the
predictive likelihood as a device for updating a real-valued time-varying parameter in a …

An EGARCH model in which the conditional distribution is heavy-tailed and skewed is
proposed. The properties of the model, including unconditional moments, autocorrelations …

The aim of this article is to bring together different specifications for copula models with time-
varying dependence structure. Copula models are widely used in financial econometrics …

We study the tail dependence between crude oil and BRIC stock markets using a time-
varying optimal copula (TVOC) approach. We show evidence of multiple tail dependence …

We propose a new Markov switching model with time‐varying transitions probabilities. The
novelty of our model is that the transition probabilities evolve over time by means of an …

We review regression models for count time series. We discuss the approach that is based
on generalized linear models and the class of integer autoregressive processes. The …