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Dynamic distributions and changing copulas
Harvey, Andrew C. - 2008
Persistent link: https://www.econbiz.de/10003851026
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Seasonality tests
Busetti, Fabio; Harvey, Andrew C. - In: Journal of business & economic statistics : JBES ; a … 21 (2003) 3, pp. 420-436
Persistent link: https://www.econbiz.de/10001785809
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Two EGARCH Models and One Fat Tail
Caivano, Michele - 2014
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/10013051366
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Two EGARCH models and one fat tail
Caivano, Michele; Harvey, Andrew C. - 2013
Persistent link: https://www.econbiz.de/10009772443
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The dynamic location/scale model : with applications to intra-day financial data
Andrès, Philippe; Harvey, Andrew C. - 2012
Persistent link: https://www.econbiz.de/10009667180
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EGARCH models with fat tails, skewness and leverage
Harvey, Andrew C.; Sucarrat, Genaro - 2012
Persistent link: https://www.econbiz.de/10009579884
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Testing against changing correlation
Harvey, Andrew C.; Thiele, Stephen - 2014
Persistent link: https://www.econbiz.de/10010504846
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Two EGARCH models and one fat tail
Caivano, Michele; Harvey, Andrew C. - 2014
Persistent link: https://www.econbiz.de/10010495720
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Filtering with heavy tails
Harvey, Andrew C.; Luati, Alessandra - 2012
Persistent link: https://www.econbiz.de/10009737948
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Volatility modeling with a generalized t-distribution
Harvey, Andrew C.; Lange, Rutger-Jan - 2015
Persistent link: https://www.econbiz.de/10011285967