Maximum likelihood estimates for positive valued dynamic score models; The DySco package

Computational Statistics & Data Analysis, 2014, vol. 76, issue C, 34-42

Abstract: Recently, the Dynamic Conditional Score (DCS) or Generalized Autoregressive Score (GAS) time series models have attracted considerable attention. This motivates the need for a software package to estimate and evaluate these new models. A straightforward to operate program called the Dynamic Score (DySco) package is introduced for estimating models for positive variables, in which the location/scale evolves over time. Its capabilities are demonstrated using a financial application.

Keywords: Dynamic Score model; DCS model; GAS model; Autoregressive Conditional Duration model; F-distribution; OxMetrics (search for similar items in EconPapers)
Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:eee:csdana:v:76:y:2014:i:c:p:34-42

DOI: 10.1016/j.csda.2013.11.004

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