Now showing items 1-10 of 10

    • The Dynamic Location/Scale Model 

      Andres, Philipp; Harvey, Andrew (Faculty of Economics, University of Cambridge, UK, 2012-09-26)
      In dynamic conditional score models, the innovation term of the dynamic specification is the score of the conditional distribution. These models are investigated for non-negative variables, using distributions from the ...
    • EGARCH models with fat tails, skewness and leverage 

      Harvey, Andrew; Sucarrat, Genaro (Faculty of Economics, University of Cambridge, UK, 2012-08-17)
      An EGARCH model in which the conditional distribution is heavy-tailed and skewed is proposed. The properties of the model, including unconditional moments, autocorrelations and the asymptotic distribution of the maximum ...
    • EGARCH models with fat tails, skewness and leverage 

      Harvey, Andrew; Sucarrat, Genaro (Elsevier, 2013-10-04)
      An EGARCH model in which the conditional distribution is heavy-tailed and skewed is proposed. The properties of the model, including unconditional moments, autocorrelations and the asymptotic distribution of the maximum ...
    • Exponential Conditional Volatility Models 

      Harvey, Andrew (Faculty of Economics, 2010-08-24)
      The asymptotic distribution of maximum likelihood estimators is derived for a class of exponential generalized autoregressive conditional heteroskedasticity (EGARCH) models. The result carries over to models for duration ...
    • Filtering with heavy tails 

      Harvey, Andrew; Luati, Alessandra (Faculty of Economics, University of Cambridge, 2012-12-10)
      An unobserved components model in which the signal is buried in noise that is non-Gaussian may throw up observations that, when judged by the Gaussian yardstick, are outliers. We describe an observation driven model, based ...
    • Robust time series models with trend and seasonal components 

      Caivano, Michele; Harvey, Andrew; Luati, Alessandra (Springer, 2015-12-10)
      We describe observation driven time series models for Student-t and EGB2 conditional distributions in which the signal is a linear function of past values of the score of the conditional distribution. These specifications ...
    • Testing against changing correlation 

      Harvey, Andrew; Thiele, Stephen (Elsevier, 2015-09-25)
      A test for time-varying correlation is developed within the framework of a dynamic conditional score (DCS) model for both Gaussian and Student t-distributions. The test may be interpreted as a Lagrange multiplier test and ...
    • Time series models with an EGB2 conditional distribution 

      Caivano, Michele; Harvey, Andrew (2014-07-09)
      A time series model in which the signal is buried in noise that is non-Gaussian may throw up observations that, when judged by the Gaussian yardstick, are outliers. We describe an observation driven model, based on an ...
    • Time series models with an EGB2 conditional distribution 

      Harvey, Andrew; Caivano, Michele (Faculty of Economics, University of Cambridge, 2013-07-17)
      A time series model in which the signal is buried in noise that is non-Gaussian may throw up observations that, when judged by the Gaussian yardstick, are outliers. We describe an observation driven model, based on an ...
    • Two EGARCH models and one fat tail 

      Harvey, Andrew; Caivano, Michele (Faculty of Economics, University of Cambridge, 2013-07-29)
      We compare two EGARCH models which belong to a new class of models in which the dynamics are driven by the score of the conditional distribution of the observations. Models of this kind are called dynamic conditional score ...