Browsing by Author "Harvey, Andrew"
Now showing items 4-6 of 6
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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 ...