
Andres, P.
Computation of Maximum Likelihood Estimates for Score Driven Models for Positive Valued Observations,
Computational Statistics and Data Analysis
Vol. 76 pp. 34-42 (2014)
Abstract: Recently, the Dynamic Conditional Score (DCS) or Generalized Autoregressive Score (GAS) time series models have attracted considerable attention. This motivates the need for a software package to estimate and evaluate these new models. A straightforward to operate program called the Dynamic Score (DySco) package is introduced for estimating models for positive variables, in which the location/scale evolves over time. Its capabilities are demonstrated using a financial application.
Keywords: Dynamic Score model, DCS modelGAS model, Autoregressive Conditional Duration model, F-distribution, OxMetrics
Publisher's Link: https://doi.org/10.1016/j.csda.2013.11.004
Keynes Fund Project(s):
Dynamic Models for Volatility and Heavy Tails (JHLC)
Dynamic Models for Volatility and Heavy Tails (JHLH)