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Faculty of Economics

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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

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Keynes Fund Project(s):
Dynamic Models for Volatility and Heavy Tails (JHLC)  
Dynamic Models for Volatility and Heavy Tails (JHLH)  

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