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Robust time series models with trend and seasonal components
Caivano, Michele
;
Harvey, Andrew
;
Luati, Alessandra
- In:
SERIEs - Journal of the Spanish Economic Association
7
(
2016
)
1
,
pp. 99-120
is a linear function of past values of the
score
of the conditional distribution. These specifications produce models …
Persistent link: https://www.econbiz.de/10011650315
Saved in:
2
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
is a linear function of past values of the
score
of the conditional distribution. These specifications produce models …
Persistent link: https://www.econbiz.de/10011458780
Saved in:
3
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
Saved in:
4
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
Saved in:
5
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
Saved in:
6
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
Saved in:
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