Now showing items 1-2 of 2

    • Time series models with an EGB2 conditional distribution 

      M. Caivano; A. Harvey (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 

      M. Caivano; A. Harvey (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 ...