Browsing BI Open by Author "Harvey, Andrew"
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EGARCH models with fat tails, skewness and leverage
Harvey, Andrew; Sucarrat, Genaro (Journal article, 2015)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 ...