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Exponential Conditional Volatility Models

Harvey, A. - Faculty of Economics, University of Cambridge - 2010

that use an exponential link function. A key feature of the model formulation is that the dynamics are driven by the score. …

Persistent link: https://www.econbiz.de/10008483950

EGARCH models with fat tails, skewness and leverage

Harvey, A.; Sucarrat, G. - Faculty of Economics, University of Cambridge - 2012

An EGARCH model in which the conditional distribution is heavy-tailed and skewed is proposed. The properties of the model, including unconditional moments, autocorrelations and the asymptotic distribution of the maximum likelihood estimator, are obtained. Evidence for skewness in conditional...

Persistent link: https://www.econbiz.de/10010699818

The Dyanamic Location/Scale Model: with applications to intra-day financial data

Andres, P.; Harvey, A. - Faculty of Economics, University of Cambridge - 2012

In dynamic conditional score models, the innovation term of the dynamic specification is the score of the conditional …

Persistent link: https://www.econbiz.de/10010699826

Filtering with heavy tails

Harvey, A.; Luati, A. - Faculty of Economics, University of Cambridge - 2012

dynamics be driven by the score of the conditional distribution leads to a specification that is not only easy to implement …

Persistent link: https://www.econbiz.de/10010699830

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 …

Persistent link: https://www.econbiz.de/10010700219

Time series models with an EGB2 conditional distribution

Caivano, M.; Harvey, A. - Faculty of Economics, University of Cambridge - 2013

beta distribution of the second kind (EGB2), in which the signal is a linear function of past values of the score of the …

Persistent link: https://www.econbiz.de/10010700221

Beta-t-(E)GARCH

Harvey, A.; Chakravarty, T. - Faculty of Economics, University of Cambridge - 2008

modi.cation lets the conditional variance, or its logarithm, depend on past values of the score of a t-distribution. The …

Persistent link: https://www.econbiz.de/10005650533

Modeling dynamic diurnal patterns in high frequency financial data

Ito, Ryoko - Faculty of Economics, University of Cambridge - 2013

A spline-DCS model is developed to forecast the conditional distribution of high-frequency financial data with periodic behavior. The dynamic cubic spline of Harvey and Koopman (1993) is applied to allow diurnal patterns to evolve stochastically over time. An empirical application illustrates...

Persistent link: https://www.econbiz.de/10010761905