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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.

Suggested Citation

  • Andres, P. & Harvey, A., 2012. "The Dyanamic Location/Scale Model: with applications to intra-day financial data," Cambridge Working Papers in Economics 1240, Faculty of Economics, University of Cambridge.
    • Handle: RePEc:cam:camdae:1240
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    File URL: http://www.econ.cam.ac.uk/research-files/repec/cam/pdf/cwpe1240.pdf
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    Cited by:

    1. Blasques, Francisco & van Brummelen, Janneke & Koopman, Siem Jan & Lucas, André, 2022. "Maximum likelihood estimation for score-driven models," Journal of Econometrics, Elsevier, vol. 227(2), pages 325-346.
    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.
    3. Ito, Ryoko, 2013. "Modeling Dynamic Diurnal Patterns in High-Frequency Financial Data," Cambridge Working Papers in Economics 1315, Faculty of Economics, University of Cambridge.
    4. Parley Ruogu Yang, 2021. "Forecasting high-frequency financial time series: an adaptive learning approach with the order book data," Papers 2103.00264, arXiv.org.
    5. Ng, Kok Haur & Peiris, Shelton & Chan, Jennifer So-kuen & Allen, David & Ng, Kooi Huat, 2017. "Efficient modelling and forecasting with range based volatility models and its application," The North American Journal of Economics and Finance, Elsevier, vol. 42(C), pages 448-460.
    6. Massimiliano Caporin & Eduardo Rossi & Paolo Santucci De Magistris, 2014. "Chasing Volatility. A Persistent Multiplicative Error Model With Jumps," "Marco Fanno" Working Papers 0186, Dipartimento di Scienze Economiche "Marco Fanno".
    7. Adam Clements & Joanne Fuller & Vasilios Papalexiou, 2015. "Public news flow in intraday component models for trading activity and volatility," NCER Working Paper Series 106, National Centre for Econometric Research.

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    More about this item

    Keywords

    Burr distribution; Durations; Range; Score; Un-observed components; Weibull distribution;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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