Article ID Journal Published Year Pages File Type
6869942 Computational Statistics & Data Analysis 2014 9 Pages PDF
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
Related Topics
Physical Sciences and Engineering Computer Science Computational Theory and Mathematics
Authors
,