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

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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Year of publication:	2012-09-26
Authors:	Andres, P. ; Harvey, A.
Institutions:	Faculty of Economics, University of Cambridge
Subject:	Burr distribution \| Durations \| Range \| Score \| Un-observed components \| Weibull distribution

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Series:	Cambridge Working Papers in Economics.
Type of publication:	Book / Working Paper
Classification:	C22 - Time-Series Models ; G10 - General Financial Markets. General
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010699826