Search Results - subject:"Multivariate Normality Test"

Estimation and testing of dynamic models with generalised hyperbolic innovations

Mencia, Javier F.; Sentana, Enrique - London School of Economics (LSE) - 2004

We analyse the Generalised Hyperbolic distribution as a model for fat tails and asymmetries in multivariate conditionally heteroskedastic dynamic regression models. We provide a standardised version of this distribution, obtain analytical expressions for the log-likelihood score, and explain how...

Persistent link: https://www.econbiz.de/10010884659

ESTIMATION AND TESTING OF DYNAMIC MODELS WITH GENERALISED HYPERBOLIC INNOVATIONS

Mencía, Francisco Javier; Sentana, Enrique - Centro de Estudios Monetarios y Financieros (CEMFI) - 2004

Persistent link: https://www.econbiz.de/10005827087

Estimation and Testing of Dynamic Models with Generalized Hyperbolic Innovations

Mencía, Javier; Sentana, Enrique - C.E.P.R. Discussion Papers - 2005

We analyse the Generalised Hyperbolic distribution adequacy to model kurtosis and asymmetries in multivariate conditionally heteroskedastic dynamic regression models. We standardise this distribution, obtain analytical expressions for the log-likelihood score, and explain how to evaluate the...

Persistent link: https://www.econbiz.de/10005124228