This package provides functionality to estimate models of the Dynamic Conditional Score [DCS] class, proposed by Harvey & Chakravarty (2008, 2009), and by Creal, Koopman & Lucas (2013), simultaneously, and independently as Generalized Autoregressive Score [GAS] models. A comprehensive introduction to the theory of these models is given in Harvey (2013).
The models of the DCS class in the current version of the package include:
- Gaussian copula GAS models (Creal, Koopman & Lucas, 2013);
- Marked point process GAS models (Creal, Koopman & Lucas, 2013);
- Beta-t-GARCH DCS models (Harvey & Chakravarty, 2008);
- Beta-t-EGARCH DCS models (Harvey & Chakravarty, 2008);
- GAS volatility models (Creal, Koopman & Lucas, 2013);