Maximum likelihood estimates for positive valued dynamic score models; the DySco package

DOI10.1016/J.CSDA.2013.11.004zbMath1506.62004OpenAlexW2016618653MaRDI QIDQ1623506

Philipp Andres

Publication date: 23 November 2018

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2013.11.004

zbMATH Keywords

autoregressive conditional duration modelF-distributionDCS modeldynamic score modelGAS modelOxMetrics

Mathematics Subject Classification ID

Software, source code, etc. for problems pertaining to statistics (62-04) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Point estimation (62F10)

Related Items (7)

Decision-making in incomplete markets with ambiguity—a case study of a gas field acquisition ⋮ Semiparametric score driven volatility models ⋮ Did long-memory of liquidity signal the European sovereign debt crisis? ⋮ Comparison of value-at-risk models using the MCS approach ⋮ New HEAVY Models for Fat-Tailed Realized Covariances and Returns ⋮ DySco ⋮ Accelerating score-driven time series models

Uses Software

• Ox

Cites Work

• Unnamed Item
• On generalised asymmetric stochastic volatility models
• Robust estimates for GARCH models
• Notes on maximum likelihood estimation for the three-parameter Burr XII distribution
• Regime-switching Pareto distributions for ACD models
• A generalization of the beta distribution with applications
• The beta Burr XII distribution with application to lifetime data
• Dynamic Models for Volatility and Heavy Tails
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
• Non‐monotonic hazard functions and the autoregressive conditional duration model
• Handbook of Volatility Models and Their Applications

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