Now showing items 2-6 of 6

    • EGARCH models with fat tails, skewness and leverage 

      Harvey, Andrew; Sucarrat, Genaro (Faculty of Economics, 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 ...
    • 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, 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 ...
    • Time series models with an EGB2 conditional distribution 

      Harvey, Andrew; Caivano, Michele (Faculty of Economics, 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, 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 ...