The Dynamic Location/Scale Model
Repository DOI
Change log
Authors
Andres, Philipp
Harvey, Andrew
Abstract
In dynamic conditional score models, the innovation term of the dynamic specification is the score of the conditional distribution. These models are investigated for non-negative variables, using distributions from the generalized beta and generalized gamma families. The log-normal distribution is also considered. Applications to the daily range of stock market indices are reported and models are fitted to duration data.
Description
Keywords
Burr distribution, Durations, Range, Score, Un-observed components, Weibull distribution
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Publisher
Faculty of Economics