dc.contributor.author | Harvey, Andrew | |
dc.contributor.author | Sucarrat, Genaro | |
dc.date.accessioned | 2015-10-05T11:19:44Z | |
dc.date.available | 2015-10-05T11:19:44Z | |
dc.date.issued | 2015 | |
dc.identifier.citation | Computational Statistics and Data Analysis, 76(2014): 320-338 | nb_NO |
dc.identifier.issn | 0167-9473 | |
dc.identifier.issn | 1872-7352 | |
dc.identifier.uri | http://hdl.handle.net/11250/2349731 | |
dc.description | This is the manuscript to the article first published in Cambridge Working Papers in Economics: http://www.econ.cam.ac.uk/research/repec/cam/pdf/cwpe1236.pdf | nb_NO |
dc.description.abstract | 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 distribu-
tion of the maximum likelihood estimator, are obtained. Evidence for
skewness in conditional t-distribution is found for a range of returns
series and the model is shown to give a better t than the correspond-
ing skewed-t GARCH model. | nb_NO |
dc.language.iso | eng | nb_NO |
dc.publisher | Elsevier | nb_NO |
dc.title | EGARCH models with fat tails, skewness and leverage | nb_NO |
dc.type | Journal article | nb_NO |
dc.source.journal | Computational Statistics and Data Analysis | nb_NO |
dc.identifier.doi | 10.1016/j.csda.2013.09.022 | |
dc.description.localcode | 1,Forside | nb_NO |