The Dyanamic Location/Scale Model: with applications to intra-day financial data
Philipp Andres () and
Cambridge Working Papers in Economics from Faculty of Economics, University of Cambridge
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)
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Persistent link: https://EconPapers.repec.org/RePEc:cam:camdae:1240
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