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

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  • 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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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.
  2. Andres, Philipp, 2014. "Maximum likelihood estimates for positive valued dynamic score models; The DySco package," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 34-42.

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