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

Philipp Andres () and Andrew Harvey

Cambridge Working Papers in Economics from Faculty of Economics, University of Cambridge

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.

Keywords: Burr distribution; Durations; Range; Score; Un-observed components; Weibull distribution (search for similar items in EconPapers)
JEL-codes: C22 G10 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm
Date: 2012-09-26
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