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

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Author Info

  • Andres, P.
  • Harvey, A.

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.

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File URL: http://www.econ.cam.ac.uk/research/repec/cam/pdf/cwpe1240.pdf
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Bibliographic Info

Paper provided by Faculty of Economics, University of Cambridge in its series Cambridge Working Papers in Economics with number 1240.

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Date of creation: 26 Sep 2012
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Handle: RePEc:cam:camdae:1240

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Web page: http://www.econ.cam.ac.uk/index.htm

Related research

Keywords: Burr distribution; Durations; Range; Score; Un-observed components; Weibull distribution;

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  1. Drew Creal & Siem Jan Koopman & André Lucas, 2013. "Generalized Autoregressive Score Models With Applications," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 28(5), pages 777-795, 08.
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  15. repec:dgr:uvatin:2010032 is not listed on IDEAS
  16. Berkowitz, Jeremy, 2001. "Testing Density Forecasts, with Applications to Risk Management," Journal of Business & Economic Statistics, American Statistical Association, vol. 19(4), pages 465-74, October.
  17. BAUWENS, Luc & VEREDAS, David, 1999. "The stochastic conditional duration model: a latent factor model for the analysis of financial durations," CORE Discussion Papers 1999058, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
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Cited by:
  1. Ito, Ryoko, 2013. "Modeling dynamic diurnal patterns in high frequency financial data," Cambridge Working Papers in Economics 1315, Faculty of Economics, University of Cambridge.

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