Maximum likelihood estimates for positive valued dynamic score models; The DySco package. 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.
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References in zbMATH (referenced in 1 article )
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- Bernardi, Mauro; Catania, Leopoldo: Comparison of value-at-risk models using the MCS approach (2016)