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 nancial application.