Two EGARCH models and one fat tail
Year of publication: |
2013-07-29
|
---|---|
Authors: | Caivano, M. ; Harvey, A. |
Institutions: | Faculty of Economics, University of Cambridge |
Subject: | Exchange rates | heavy tails | Hill's estimator | score | robustness | Student's t | tail index |
-
Two EGARCH models and one fat tail
Caivano, Michele, (2014)
-
Robust time series models with trend and seasonal components
Caivano, Michele, (2016)
-
Robust time series models with trend and seasonal components
Caivano, Michele, (2016)
- More ...
-
Time series models with an EGB2 conditional distribution
Caivano, M., (2013)
-
When is a copula constant? A test for changing relationships
Busetti, F., (2008)
-
Cyclical Components in Economic Time Series: a Bayesian Approach
Harvey, A., (2003)
- More ...