EconPapers    
Economics at your fingertips  
 

Dynamic conditional score models with time-varying location, scale and shape parameters

Astrid Ayala and Szabolcs Blazsek
Authors registered in the RePEc Author Service: Alvaro Escribano

UC3M Working papers. Economics from Universidad Carlos III de Madrid. Departamento de Economía

Abstract: We introduce new dynamic conditional score (DCS) models with time-varyinglocation, scale and shape parameters. For these models, we use the Student's-t, GED(general error distribution), Gen-t (generalized-t), Skew-Gen-t (skewed generalized-t),EGB2 (exponential generalized beta of the second kind) and NIG (normal-inverseGaussian) distributions. We show that the maximum likelihood (ML) estimates of thenew DCS models are consistent and asymptotically Gaussian. As an illustration, weuse daily log-return time series data from the S&P 500 index for period 1950 to 2016.We find that, with respect to goodness-of-fit and predictive performance, the DCSmodels with dynamic shape are superior to the DCS models with constant shape andthe benchmark AR-t-GARCH model.

Keywords: Dynamic; conditional; score; models; Score-driven; shape; parameters (search for similar items in EconPapers)
JEL-codes: C22 C52 C58 (search for similar items in EconPapers)
Date: 2017-07-01
New Economics Papers: this item is included in nep-ecm
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
https://e-archivo.uc3m.es/rest/api/core/bitstreams ... a1ac60b66506/content (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cte:werepe:25043

Access Statistics for this paper

More papers in UC3M Working papers. Economics from Universidad Carlos III de Madrid. Departamento de Economía
Bibliographic data for series maintained by Ana Poveda ().

 
Page updated 2025-03-22
Handle: RePEc:cte:werepe:25043