The Dyanamic Location/Scale Model: with applications to intra-day financial data
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Authors
Andres, P.
Harvey, A.
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.
Weibull distribution
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Keywords
Burr distribution, Durations, Range, Score, Un-observed components
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Faculty of Economics