Now showing items 4-6 of 6

    • 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 ...