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Robust time series models with trend and seasonal components

Caivano, Michele; Harvey, Andrew C.; Luati, Alessandra - In: SERIEs : Journal of the Spanish Economic Association 7 (2016) 1, pp. 99-120

We describe observation driven time series models for Student-t and EGB2 conditional distributions in which the signal is a linear function of past values of the score of the conditional distribution. These specifications produce models that are easy to implement and deal with outliers by what...

Persistent link: https://www.econbiz.de/10011458780

Two EGARCH models and one fat tail

Caivano, Michele; Harvey, Andrew C. - 2014

Persistent link: https://www.econbiz.de/10010495720

Testing against changing correlation

Harvey, Andrew C.; Thiele, Stephen - 2014

Persistent link: https://www.econbiz.de/10010504846

Volatility modeling with a generalized t-distribution

Harvey, Andrew C.; Lange, Rutger-Jan - 2015

Persistent link: https://www.econbiz.de/10011285967

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

EGARCH models with fat tails, skewness and leverage

Harvey, Andrew C.; Sucarrat, Genaro - 2012

Persistent link: https://www.econbiz.de/10009579884

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

Two EGARCH models and one fat tail

Caivano, Michele; Harvey, Andrew C. - 2013

Persistent link: https://www.econbiz.de/10009772443

Time series models with an EGB2 conditional distribution

Caivano, Michele; Harvey, Andrew C. - 2013

Persistent link: https://www.econbiz.de/10009772448

Filtering with heavy tails

Harvey, Andrew C.; Luati, Alessandra - 2012

Persistent link: https://www.econbiz.de/10009737948

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