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The Dynamic Location/Scale Model


Type

Working Paper

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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.

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Keywords

Burr distribution, Durations, Range, Score, Un-observed components, Weibull distribution

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Publisher

Faculty of Economics

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