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~institution:"Faculty of Economics, University of Cambridge"
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Two EGARCH models and one fat tail
Caivano, M.
;
Harvey, A.
-
Faculty of Economics, University of Cambridge
-
2013
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 (DCS) models and their form facilitates the development of a...
Persistent link: https://www.econbiz.de/10010700219
Saved in:
2
Time series models with an EGB2 conditional distribution
Caivano, M.
;
Harvey, A.
-
Faculty of Economics, University of Cambridge
-
2013
estimator. The model is fitted to US macroeconomic time series and compared with Gaussian and
Student-t
models. A theory is then …
Persistent link: https://www.econbiz.de/10010700221
Saved in:
3
Exponential Conditional Volatility Models
Harvey, A.
-
Faculty of Economics, University of Cambridge
-
2010
The asymptotic distribution of maximum likelihood estimators is derived for a class of exponential generalized autoregressive conditional heteroskedasticity (EGARCH) models. The result carries over to models for duration and realised volatility that use an exponential link function. A key...
Persistent link: https://www.econbiz.de/10008483950
Saved in:
4
Beta-t-(E)GARCH
Harvey, A.
;
Chakravarty, T.
-
Faculty of Economics, University of Cambridge
-
2008
deal with leverage and more than one component are discussed, as are the implications of distributions other than
Student
…'s
t
. …
Persistent link: https://www.econbiz.de/10005650533
Saved in:
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