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The Dyanamic Location/Scale Model: with applications to intra-day financial data


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Working Paper

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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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Publisher

Faculty of Economics

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