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Faculty of Economics

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Andres, P. and Harvey, A. C.

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


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

JEL Codes: C22 G10

Author links: Andrew Harvey  


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