Browsing Handelshøyskolen BI by Journals "Computational Statistics and Data Analysis"

Now showing items 1-2 of 2

    • 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 ...

    • Testing structural equation models: the effect of kurtosis 

      Foss, Tron; Jøreskog, Karl Gustaf; Olsson, Ulf Henning (Journal article; Peer reviewed, 2011)
      The Satorra Bentler (SB) and the Browne ADF chi-square statistics are used for testing structural equation models with non-normal data. The relationships between the SB and ADF statistics and kurtosis are developed and it ...