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Keynes Fund

 

Maximum Likelihood Estimates for Positive Valued Dynamic Score Models; The DySco Package, Philipp Andres, Computational Statistics & 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.