Browsing by Author "Harvey, Andrew"
Now showing items 5-10 of 10
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Filtering with heavy tails
(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 ... -
Robust time series models with trend and seasonal components
(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
(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
(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 ... -
Time series models with an EGB2 conditional distribution
(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 ... -
Two EGARCH models and one fat tail
(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 ...
